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

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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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Authors and Affiliations

  1. Department of Industrial and Systems Engineering, Chuo University, 2-13-27, Kasuga, Bunkyo-ku, Tokyo, 112-8551, Japan

    Hiroshi Konno, Katsuhiro Tanaka & Rei Yamamoto

  2. Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd., 4-2-6, Akasaka, Minato-ku, Tokyo, 107-0052, Japan

    Rei Yamamoto

Authors
  1. Hiroshi Konno
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  2. Katsuhiro Tanaka
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  3. Rei Yamamoto
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Correspondence to Rei Yamamoto.

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Konno, H., Tanaka, K. & Yamamoto, R. Construction of a portfolio with shorter downside tail and longer upside tail. Comput Optim Appl 48, 199–212 (2011). https://doi.org/10.1007/s10589-009-9255-4

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  • DOI: https://doi.org/10.1007/s10589-009-9255-4

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