TITLE:
General Markowitz Optimization Problems
AUTHORS:
George Stoica
KEYWORDS:
Markowitz Optimization Problems; Coherent Risk Measure; Tail Value at Risk
JOURNAL NAME:
Applied Mathematics,
Vol.3 No.12A,
December
31,
2012
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.