TY - GEN
T1 - Portfolio Optimization with Expectile and Omega Functions
AU - Wagner, Alexander
AU - Uryasev, Stan
N1 - Publisher Copyright:
© 2019 IEEE.
PY - 2019/12
Y1 - 2019/12
N2 - This paper proves equivalences of portfolio optimization problems with negative expectile and omega ratio. We derive subgradients for the negative expectile as a function of the portfolio from a known dual representation of expectile and general theory about subgradients of risk measures. We also give an elementary derivation of the gradient of negative expectile under some assumptions and provide an example where negative expectile is demonstrably not differentiable. We conducted a case study and solved portfolio optimization problems with negative expectile objective and constraint (code and data are posted on the web).
AB - This paper proves equivalences of portfolio optimization problems with negative expectile and omega ratio. We derive subgradients for the negative expectile as a function of the portfolio from a known dual representation of expectile and general theory about subgradients of risk measures. We also give an elementary derivation of the gradient of negative expectile under some assumptions and provide an example where negative expectile is demonstrably not differentiable. We conducted a case study and solved portfolio optimization problems with negative expectile objective and constraint (code and data are posted on the web).
UR - https://www.scopus.com/pages/publications/85081132456
U2 - 10.1109/WSC40007.2019.9004720
DO - 10.1109/WSC40007.2019.9004720
M3 - Conference contribution
AN - SCOPUS:85081132456
T3 - Proceedings - Winter Simulation Conference
SP - 926
EP - 937
BT - 2019 Winter Simulation Conference, WSC 2019
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2019 Winter Simulation Conference, WSC 2019
Y2 - 8 December 2019 through 11 December 2019
ER -