通过极大化风险调整后的资本收益率(RAROC)，建立了一个最优资产投资组合方案。根据RAROC的分式结构，以及回报函数和风险函数通常是关于投资额的齐次函数，将分式优化问题转化为对其分母的最优化。当风险资产期末回报率服从正态分布，风险度量采用在险价值或条件在险价值时，极大化RAROC的问题可以转化为目标函数为二次平方根函数，约束为线性灯饰和不等式的最优化问题，此时可以利用二阶锥优化模型进行求解。

In this paper, we consider an optimal portfolio selection method based on maximizing risk-adjusted return on capital(RAROC) of the portfolio. The fractional structure of the objective function maximizing RAROC makes it difficult to be solved. We noticed that in real financial practice, the expected return function and risk function of the portfolio are often homogeneous with the amount of investment. Under some conditions we proved that the problem can be solved by minimizing its denominator in certain constraints. When random return follows normal distribution, it maximizes RAROC problem associated with risk measure, such as Value at Risk(VaR) or Conditional Value at Risk(CVaR), can be reformulated as a problem that minimizes a square root function with linear constraints. The latter problem can be solved by using excising second order cone optimization software.