화학공학소재연구정보센터
Applied Mathematics and Optimization, Vol.68, No.2, 157-179, 2013
Quantile Portfolio Optimization Under Risk Measure Constraints
This paper analyzes the problem of optimal portfolio choice with budget and risk constraints. The problem is formulated in terms of quantile functions and the risk is quantified through a large family of coherent risk measures. The solution is obtained analyzing the problem without constraints using Lagrange multipliers, getting a unique solution to the optimization problem.