Portfolio optimization using a new probabilistic risk measure
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Open access via publisher
Authors
Sun, Y.
Aw, Ee-Ling Grace
Teo, Kok Lay
Teo, Kok Lay
Zhou, Guanglu
Date
2015Type
Journal Article
Metadata
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Sun, Y. and Aw, E.G. and Teo, K.L. and Teo, K.L. and Zhou, G. 2015. Portfolio optimization using a new probabilistic risk measure. Journal of Industrial and Management Optimization (JIMO). 11 (4): pp. 1275-1283.
Source Title
Journal of Industrial and Management Optimization (JIMO)
ISSN
School
Department of Mathematics and Statistics
Collection
Abstract
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.
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