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Optimal Financial Portfolios 

Authors: S. V. Stoyanov a;  S. T. Rachev b; F. J. Fabozzi c
Affiliations:   a Chief Financial Researcher, FinAnalytica, Inc., Seattle, USA
b Department of Econometrics and Statistics, University of Karlsruhe, Germany and Department of Statistics and Applied Probability, University of California Santa Barbara,
c Professor in the Practice of Finance, Yale University, School of Management,
DOI: 10.1080/13504860701255292
Publication Frequency: 6 issues per year
Published in: journal Applied Mathematical Finance, Volume 14, Issue 5 December 2007 , pages 401 - 436
Formats available: HTML (English) : PDF (English)
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Abstract

The classes of reward-risk optimization problems that arise from different choices of reward and risk measures are considered. In certain examples the generic problem reduces to linear or quadratic programming problems. An algorithm based on a sequence of convex feasibility problems is given for the general quasi-concave ratio problem. Reward-risk ratios that are appropriate in particular for non-normal assets return distributions and are not quasi-concave are also considered.
Keywords: Reward-risk ratio; optimal portfolio; risk measure; efficent frontier
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