Abstract
We present an explicit closed-form solution to the problem of minimizing the combination of linear functional and a function of quadratic functional, subject to a system of affine constraints. This is of interest for solving important problems in financial economics related to optimal portfolio selection. The new results essentially generalize previous results of the authors concerning optimal portfolio selection with translation invariant and positive homogeneous risk measures. The classical mean-variance model and the recently introduced and investigated tail mean-variance model are special cases of the problem discussed here.
| Original language | English |
|---|---|
| Pages (from-to) | 308-322 |
| Number of pages | 15 |
| Journal | Journal of Optimization Theory and Applications |
| Volume | 170 |
| Issue number | 1 |
| DOIs | |
| State | Published - 1 Jul 2016 |
Bibliographical note
Publisher Copyright:© 2015, Springer Science+Business Media New York.
Keywords
- Function of quadratic functional
- Linear constraints
- Minimization
- Portfolio selection
- Tail variance
ASJC Scopus subject areas
- Management Science and Operations Research
- Control and Optimization
- Applied Mathematics