Inverse portfolio problem with mean-deviation model

DOI10.1016/j.ejor.2013.04.056zbMath1304.91192OpenAlexW2038684391MaRDI QIDQ2514720

Bogdan Grechuk, Michael Zabarankin

Publication date: 3 February 2015

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.04.056

zbMATH Keywords

portfolio optimizationrisk preferencesconditional value-at-riskdeviation measure

Mathematics Subject Classification ID

Related Items (10)

Risk averse decision making under catastrophic risk ⋮ Inverse portfolio problem with coherent risk measures ⋮ Sensitivity Analysis in Applications with Deviation, Risk, Regret, and Error Measures ⋮ On dynamic deviation measures and continuous-time portfolio optimization ⋮ A simple SSD-efficiency test ⋮ Regression analysis: likelihood, error and entropy ⋮ Synergy effect of cooperative investment ⋮ Direct data-based decision making under uncertainty ⋮ Optimization with Stochastic Preferences Based on a General Class of Scalarization Functions ⋮ Individual and cooperative portfolio optimization as linear program

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• The Dual Theory of Choice under Risk
• SCHUR CONVEX FUNCTIONALS: FATOU PROPERTY AND REPRESENTATION
• COOPERATIVE GAMES WITH GENERAL DEVIATION MEASURES
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• Stochastic finance. An introduction in discrete time

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