Portfolio optimization using a new probabilistic risk measure
In this paper, we introduce a new portfolio selection method. Our method is innovative and flexible. An explicit solution is obtained, and the selection method allows for investors with dierent degree of risk aversion. The portfolio selection problem is formulated as a bi-criteria optimization probl...
| Main Authors: | , , , |
|---|---|
| Format: | Journal Article |
| Published: |
American Institute of Mathematical Sciences
2015
|
| Online Access: | http://hdl.handle.net/20.500.11937/12065 |
| _version_ | 1848747974132236288 |
|---|---|
| author | Sun, Y. Aw, Ee-Ling Grace Teo, Kok Lay Teo, Kok Lay Zhou, Guanglu |
| author_facet | Sun, Y. Aw, Ee-Ling Grace Teo, Kok Lay Teo, Kok Lay Zhou, Guanglu |
| author_sort | Sun, Y. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | In this paper, we introduce a new portfolio selection method. Our method is innovative and flexible. An explicit solution is obtained, and the selection method allows for investors with dierent degree of risk aversion. The portfolio selection problem is formulated as a bi-criteria optimization problem which maximizes the expected portfolio return and minimizes the maximum individual risk of the assets in the portfolio. The ecient frontier using our method is compared with various ecient frontiers in the literature and found to be superior to others in the mean-variance space. |
| first_indexed | 2025-11-14T06:57:40Z |
| format | Journal Article |
| id | curtin-20.500.11937-12065 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:57:40Z |
| publishDate | 2015 |
| publisher | American Institute of Mathematical Sciences |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-120652017-09-13T16:03:15Z Portfolio optimization using a new probabilistic risk measure Sun, Y. Aw, Ee-Ling Grace Teo, Kok Lay Teo, Kok Lay Zhou, Guanglu In this paper, we introduce a new portfolio selection method. Our method is innovative and flexible. An explicit solution is obtained, and the selection method allows for investors with dierent degree of risk aversion. The portfolio selection problem is formulated as a bi-criteria optimization problem which maximizes the expected portfolio return and minimizes the maximum individual risk of the assets in the portfolio. The ecient frontier using our method is compared with various ecient frontiers in the literature and found to be superior to others in the mean-variance space. 2015 Journal Article http://hdl.handle.net/20.500.11937/12065 10.3934/jimo.2015.11.1275 American Institute of Mathematical Sciences unknown |
| spellingShingle | Sun, Y. Aw, Ee-Ling Grace Teo, Kok Lay Teo, Kok Lay Zhou, Guanglu Portfolio optimization using a new probabilistic risk measure |
| title | Portfolio optimization using a new probabilistic risk measure |
| title_full | Portfolio optimization using a new probabilistic risk measure |
| title_fullStr | Portfolio optimization using a new probabilistic risk measure |
| title_full_unstemmed | Portfolio optimization using a new probabilistic risk measure |
| title_short | Portfolio optimization using a new probabilistic risk measure |
| title_sort | portfolio optimization using a new probabilistic risk measure |
| url | http://hdl.handle.net/20.500.11937/12065 |