General Markowitz Optimization Problems

George Stoica

Department of Mathematical Sciences, University of New Brunswick, Saint John, Canada.

DOI: 10.4236/am.2012.312A281                

Abstract

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.

Keywords

Markowitz Optimization Problems; Coherent Risk Measure; Tail Value at Risk

Conflicts of Interest

The authors declare no conflicts of interest.

References

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