Optimal financial portfolios

S. V. Stoyanov, S. T. Rachev, F. J. Fabozzi

Research output: Contribution to journalArticlepeer-review

56 Scopus citations


The classes of reward-risk optimization problems that arise from different choices of reward and risk measures are considered. In certain examples the generic problem reduces to linear or quadratic programming problems. An algorithm based on a sequence of convex feasibility problems is given for the general quasi-concave ratio problem. Reward-risk ratios that are appropriate in particular for non-normal assets return distributions and are not quasi-concave are also considered.

Original languageEnglish
Pages (from-to)401-436
Number of pages36
JournalApplied Mathematical Finance
Issue number5
StatePublished - Dec 2007


  • Efficent frontier
  • Optimal portfolio
  • Reward-risk ratio
  • Risk measure


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