The concept of optimal portfolio projection is defined, as 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. We 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.
Optimal portfolio projections and their applications to skew-elliptically distributed portfolio returns
Nicola Loperfido
Membro del Collaboration Group
2022
Abstract
The concept of optimal portfolio projection is defined, as 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. We 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.File in questo prodotto:
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