Portfolio selection problem based on nonsmooth optimization
Hong Chen · Journal of the University of Shanghai for Science and Technology · 2009
The risk was weighted with a risk function called HT ∞(X),and the corresponding portfolio optimization model was further formulated as a new bi-criteria problem.Equilibrium relations reflected by the model can turn to be a base for investors' making portfolio decision.The risk function is nondifferentiable,so the traditional optimization method cann't be applied to.By nonsmooth optimization method the problem was solved and the efficient frontier of the problem was obtained.