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Chance Constrained Portfolio Optimization using Loan

Authors:
Kiyoharu Tagawa

Keywords: Portfolio optimization; risk management; modeling

Abstract:
In this paper, portfolio optimization using loan is formulated as a chance constrained problem in which the borrowing money from a loan can be invested in risk assets. Then, the chance constrained problem is transformed into an equivalence problem. Furthermore, the equivalence problem is proven to be a convex optimization problem and solved efficiently by using an interior point method. Experimental results show that the use of the loan depends on acceptable risk and improves the efficient frontier.

Pages: 37 to 42

Copyright: Copyright (c) IARIA, 2020

Publication date: March 22, 2020

Published in: conference

ISSN: 2308-4375

ISBN: 978-1-61208-765-8

Location: Valencia, Spain

Dates: from November 21, 2020 to November 25, 2020