On the price of risk in a mean-risk optimization model

@inproceedings{Dentcheva2018OnTP,
  title={On the price of risk in a mean-risk optimization model},
  author={Darinka Dentcheva and G. J. Stock},
  year={2018}
}
We investigate a mean-risk model for portfolio optimization where the risk quantifier is selected as a semi-deviation or as a standard deviation of the portfolio return. We analyse the existence of solutions to the problem under general assumptions. When the short positions are not constrained, we establish a lower bound on the cost of risk associated with optimizing the mean–standard deviation model and show that optimal solutions do not exist for any positive price of risk which is smaller… CONTINUE READING