Optimality conditions in portfolio analysis with general deviation measures

• 成果类型: Article
• 署名作者: Rockafellar, R. Tyrrell; Uryasev, Stan; Zabarankin, Michael
• 署名单位: University of Washington; University of Washington Seattle; State University System of Florida; University of Florida; Stevens Institute of Technology
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-006-0721-9
• 发表日期: 2006
• 页码: 515-540
• 关键词: CAPITAL-ASSET PRICES; Market equilibrium; RISK

摘要

Optimality conditions are derived for problems of minimizing a general measure of deviation of a random variable, with special attention to situations where the random variable could be the rate of return from a portfolio of financial instruments. General measures of deviation go beyond standard deviation in satisfying axioms that do not demand symmetry between ups and downs. The optimality conditions are applied to characterize the generalized ``master funds'' which elsewhere have been developed in extending classical portfolio theory beyond the case of standard deviation. The consequences are worked out for deviation based on conditional value-at-risk and its variants, in particular.