B0433
Title: The theory of optimal portfolio projections and their applications
Authors: Tomer Shushi - Ben Gurion University of the Negev (Israel) [presenting]
Nicola Loperfido - University of Urbino (Italy)
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. The class of skew-elliptically distributed risks is studied. It is shown that following the proposed procedure, explicit optimal weights for such risks are obtained, with a dramatic reduction of the complexity of such an optimization problem.
