optimization of expected utility, Omega, Sortino ratios may be handled in a similar manner to quadratic risk, VaR and CVaR … random weights are also proposed. Extensions to the value functions of prospect theory are possible. The initial method …

This paper examines optimal portfolio selection using quantile-based risk measures such as Valueat-Risk (VaR) and … solution that minimizes the L2-norm. We also show that the general solution reduces to the standard optimal portfolio for VaR …