Journal article

Hyper sensitivity analysis of portfolio optimization problems

L Churilov, IM Bomze, M Sniedovich, D Ralph

ASIA-PACIFIC JOURNAL OF OPERATIONAL RESEARCH | WORLD SCIENTIFIC PUBL CO PTE LTD | Published : 2004

Abstract

Hyper Sensitivity Analysis (HSA) is an intuitive generalization of conventional sensitivity analysis, where the term "hyper" indicates that the sensitivity analysis is conducted with respect to functions rather than numeric values. In this paper Composite Concave Programming is used to perform HSA in the area of Portfolio Optimization Problems. The concept of HSA is suited for situations where several candidates for the function quantifying the utility of (mean, variance) pairs are available. We discuss the applications of HSA to two types of mean-variance portfolio optimization problems: the classical one and a discrete knapsack-type portfolio selection problem. It is explained why in both ..

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