Portfolio Selection by Maximizing Various Risk-Adjusted Return Ratios via Convex Reformulations
In this article, the classic portfolio selection problem is reformulated as nine convex optimization problems to maximize nine risk-adjusted performance indexes based on nine different risk measures in Markowitz's return-risk framework. The exact convex reformulations facilitate a decision maker to optimize portfolios efficiently by maximizing one of the nine risk-adjusted performance criteria using widely available convex optimization problem solvers, without compromising the portfolio optimality. The superior performances of the proposed approaches to the state-of-the-art methods, in terms of out-of-sample risk-adjusted returns, annualized returns, and portfolio sparsity, are demonstrated through extensive experimentation on 13 datasets from major world stock markets.
Authors
- Jun Wang (ORCID: https://orcid.org/0000-0002-1305-5735)
- Wei Zhang
- Fangyu Zhang (ORCID: https://orcid.org/0000-0001-5622-3527)
Institutions
- City University of Hong Kong (HK)
- Chongqing University of Technology (CN)
Publication Details
- Journal
- IEEE Transactions on Computational Social Systems
- Published
- 2024-12-27
- DOI
- https://doi.org/10.1109/tcss.2024.3507927
- Primary Topic
- Risk and Portfolio Optimization
- Type
- article
- Field-Weighted Citation Impact
- 0.00