Efficient optimization of the reward-risk ratio with polyhedral risk measures
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Publication:684143
DOI10.1007/s00186-017-0613-1zbMath1387.90017OpenAlexW2763908006MaRDI QIDQ684143
Tomasz Śliwiński, Michał Przyłuski, Włodzimierz Ogryczak
Publication date: 9 February 2018
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-017-0613-1
linear programmingfractional programmingportfolio optimizationcomputationtangency portfoliopolyhedral risk measuresreward-risk ratio
Applications of mathematical programming (90C90) Fractional programming (90C32) Linear programming (90C05) Computational methods for problems pertaining to operations research and mathematical programming (90-08) Portfolio theory (91G10)
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Enhanced index tracking with CVaR-based ratio measures, Distributionally robust portfolio optimization with linearized STARR performance measure, Robust reward–risk ratio portfolio optimization, On the price of risk in a mean-risk optimization model
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