Extensions of black-litterman portfolio optimization model with downside risk measure

2016 ◽  
Author(s):  
Xinxin Jia ◽  
Jianjun Gao
Keyword(s):  
Portfolio Optimization ◽  
Optimization Model ◽  
Risk Measure ◽  
Downside Risk ◽  
Portfolio Optimization Model

scholarly journals A Convex-Risk-Measure Based Model and Genetic Algorithm for Portfolio Selection

2015 ◽  
Vol 2015 ◽  
pp. 1-8 ◽  
Author(s):  
Weijia Wang ◽  
Jie Hu ◽  
Ning Dong
Keyword(s):  
Genetic Algorithm ◽  
Portfolio Optimization ◽  
Portfolio Selection ◽  
Optimization Model ◽  
Stock Exchange ◽  
Risk Measure ◽  
Convex Risk Measure ◽  
Proposed Model ◽  
Portfolio Optimization Model ◽  
Set Up

A convex risk measure called weighted expected shortfall (briefly denoted as WES (Chen and Yang, 2011)) is adopted as the risk measure. This measure can reflect the reasonable risk in the stock markets. Then a portfolio optimization model based on this risk measure is set up. Furthermore, a genetic algorithm is proposed for this portfolio optimization model. At last, simulations are made on randomly chosen ten stocks for 60 days (during January 2, 2014 to April 2, 2014) from Wind database (CFD) in Shenzhen Stock Exchange, and the results indicate that the proposed model is reasonable and the proposed algorithm is effective.

A portfolio optimization model for corporate bonds subject to credit risk

2004 ◽  
Vol 6 (2) ◽  
pp. 31-48 ◽  
Author(s):  
Nagisa Akutsu ◽  
Masaaki Kijima ◽  
Katsuya Komoribayashi
Keyword(s):  
Credit Risk ◽  
Portfolio Optimization ◽  
Optimization Model ◽  
Corporate Bonds ◽  
Portfolio Optimization Model

Portfolio Optimization Model with Transaction Costs

2002 ◽  
Vol 18 (2) ◽  
pp. 231-248 ◽  
Author(s):  
Shu-ping Chen ◽  
Chong Li ◽  
Sheng-hong Li ◽  
Xiong-wei Wu
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Optimization Model ◽  
Portfolio Optimization Model

A mean-absolute deviation-skewness portfolio optimization model

1993 ◽  
Vol 45 (1) ◽  
pp. 205-220 ◽  
Author(s):  
Hiroshi Konno ◽  
Hiroshi Shirakawa ◽  
Hiroaki Yamazaki
Keyword(s):  
Portfolio Optimization ◽  
Optimization Model ◽  
Mean Absolute Deviation ◽  
Absolute Deviation ◽  
Portfolio Optimization Model
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