General Markowitz Optimization Problems

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DOI: 10.4236/am.2012.312A281    6,691 Downloads   9,915 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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