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.
KeywordsQuantile function Portfolio optimization Risk quantification
The authors are grateful to the reviewer for his careful reading of the original manuscript and his helpful suggestions to improve the paper.
The research of Daniel Hernández–Hernández was partially supported by Conacyt and the Fulbright Foundation.
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