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PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION

H. Konno

1990.6.1Journal of the Operations Research Society of Japan

DOI: 10.15807/jorsj.33.139

tlooto Summary

A new portfolio optimization model using a piecewise linear risk function is proposed, which has several advantages over the classical Markowitz's quadratic risk model and can generate the capital-market line and derive CAPM type equilibrium relations.

Abstract

Abstract is not available.

Citation format

KONNO, H. PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION. Journal of the Operations Research Society of Japan, 1990, 33: 139–156.