Title: Optimal portfolio projections and their applications to skew-elliptically distributed portfolio returns
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. We study the class of skew-elliptically distributed risks. We show that following the proposed procedure, we are able to obtain explicit optimal weights for such risks, with a dramatic reduction of the complexity of such an optimization problem.