Applied Mathematics

Volume 3, Issue 12 (December 2012)

ISSN Print: 2152-7385   ISSN Online: 2152-7393

Google-based Impact Factor: 0.58  Citations  

General Markowitz Optimization Problems

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DOI: 10.4236/am.2012.312A281    6,687 Downloads   9,906 Views  
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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.

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G. Stoica, "General Markowitz Optimization Problems," Applied Mathematics, Vol. 3 No. 12A, 2012, pp. 2038-2040. doi: 10.4236/am.2012.312A281.

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