Article ID: | iaor20113686 |
Volume: | 48 |
Issue: | 2 |
Start Page Number: | 199 |
End Page Number: | 212 |
Publication Date: | Mar 2011 |
Journal: | Computational Optimization and Applications |
Authors: | Konno Hiroshi, Yamamoto Rei, Tanaka Katsuhiro |
Keywords: | Japan, portfolio optimization, stock market |
The purpose of this paper is to propose an algorithm for solving Rachev ratio optimization problem which is intended to construct a portfolio with shorter downside tail and longer upside tail. Moreover, we propose modified Rachev ratio to remove the theoretical flaw of Rachev ratio. Also, we will compare several portfolio models using the market data in Tokyo Stock Exchange. We believe that this paper is of interest to researchers and practitioners in the field of portfolio optimization.