Construction of a portfolio with shorter downside tail and longer upside tail

Construction of a portfolio with shorter downside tail and longer upside tail

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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: , ,
Keywords: Japan, portfolio optimization, stock market
Abstract:

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.

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