General Markowitz Optimization Problems

• 作者: George Stoica
• 来源期刊: 应用数学(英文)
• 学科: 经济
• 关键词: MARKOWITZ Optimization PROBLEMS COHERENT RISK MEASURE TAIL Value at RISK
• 年，卷（期）: 2012,（12）
• 页码范围: 2038-2040
• 页数: 3页
• 分类号: F2

摘要

We solve two Markowitz optimization problems for the one-step financial model with a finite number of assets. In our results, the classical (inefficient) constraints are replaced by coherent measures of risk that are continuous from below. The methodology of proof requires optimization techniques based on functional analysis methods. We solve explicitly both problems in the important case of Tail Value at Risk.