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Quantitative Finance Volume 17, 2017 - Issue 3
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Features

Optimal portfolios with downside risk

Fima KlebanerSchool of Mathematical Sciences, Monash University, Melbourne, Australia.
,
Zinoviy LandsmanDepartment of Statistics, University of Haifa, Haifa, Israel.
,
Udi MakovDepartment of Statistics, University of Haifa, Haifa, Israel.
&
Jing YaoFaculty of Economics, Vrije Universiteit Brussels, Brussels, Belgium.Correspondence[email protected]
Pages 315-325 | Received 13 Nov 2015, Accepted 26 May 2016, Published online: 19 Jul 2016
 
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Acknowledgements

The authors wish to thank the Israel Zimmerman Foundation for the Study of Banking and Finance for financial support. Jing Yao also acknowledges the support from and FWO.

Notes

No potential conflict of interest was reported by the authors.

1 For the computational convenience, we consider the initial constraint on the weight as In fact, for any initial wealth we are to solve

We can rewrite it as

then it is easy to see that the results obtained in section 3 are applicable as is again multivariate normal distributed.

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