PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION

• Konno Hiroshi

  Institute of Human and Social Sciences, Tokyo Institute of Technology

抄録

A new portfolio optimization model using a piecewise linear risk function is proposed. This model is similar to, but has several advantages over the classical Markowitz's quadratic risk model. First, it is much easier to generate an optimal portfolio since the problem to be solved is a linear program instead of a quadratic program. Second, integer constraints associated with real transaction can be incorporated without making the problem intractable. Third, it enables us to distinguish two distributions with the same first and second moment but with different third moment. Fourth, we can generate the capital-market line and derive CAPM type equilibrium relations. We compared the piecewise linear risk model with the quadratic risk model using historical data of Tokyo Stock Market, whose results partly support the claims stated above.

収録刊行物

• 日本オペレーションズ・リサーチ学会論文誌

  日本オペレーションズ・リサーチ学会論文誌 33 (2), 139-156, 1990

  公益社団法人 日本オペレーションズ・リサーチ学会

キーワード

• Management Science and Operations Research
• General Decision Sciences

詳細情報

• CRID: 1390282679087493504
• NII論文ID: 110001184301
• DOI: 10.15807/jorsj.33.139
• ISSN: 21888299
• ISSN: 04534514
• Web Site: https://www.jstage.jst.go.jp/article/jorsj/33/2/33_KJ00001202726/_pdf
• 本文言語コード: en
• データソース種別:
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  • CiNii Articles
• 抄録ライセンスフラグ: 使用不可