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General Markowitz Optimization Problems
Department of Mathematical Sciences, University of New Brunswick, Saint John, Canada
- 1 Department of Mathematical Sciences, University of New Brunswick, Saint John, Canada
Applied Mathematics·Volume 03 (2012)·Pages 2038–2040·Published 28 December 2012·DOI10.4236/am.2012.312A281
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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.
KeywordsMarkowitz Optimization ProblemsCoherent Risk MeasureTail Value at Risk
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