Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns

Nicola Loperfido; Tomer Shushi

doi:10.1007/s10957-023-02252-x

Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns

Nicola Loperfido, Tomer Shushi

Department of Business Administration

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

We define the concept of optimal portfolio projection, a procedure that projects the vector of weights of the portfolio return to a lower dimension such that one can explicitly solve the problem of optimal portfolio selection for any given risk measure. We study the class of skew-elliptically distributed risks and show that following the proposed procedure, we are able to obtain explicit optimal weights for such risks, with a dramatic reduction of the complexity of such an optimization problem.

Original language	English
Pages (from-to)	143-166
Number of pages	24
Journal	Journal of Optimization Theory and Applications
Volume	199
Issue number	1
DOIs	https://doi.org/10.1007/s10957-023-02252-x
State	Published - 1 Oct 2023

Keywords

Modern portfolio theory
Optimal portfolio selection
Projection theory
Risk measurement
Risk measures
Skew-elliptical distributions

ASJC Scopus subject areas

Control and Optimization
Management Science and Operations Research
Applied Mathematics

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10.1007/s10957-023-02252-x

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KW - Modern portfolio theory

KW - Optimal portfolio selection

KW - Projection theory

KW - Risk measurement

KW - Risk measures

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Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns

Abstract

Keywords

ASJC Scopus subject areas

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