Portfolio optimization with disutility-based risk measure
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Publication:322717
DOI10.1016/j.ejor.2015.11.012zbMath1346.91203OpenAlexW2188318361MaRDI QIDQ322717
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.11.012
Related Items (5)
Fuzzy multi-period portfolio selection with different investment horizons ⋮ Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach ⋮ Nonlinearly transformed risk measures: properties and application to optimal reinsurance ⋮ Copula-based Black-Litterman portfolio optimization ⋮ The loss-averse newsvendor problem with quantity-oriented reference point under CVaR criterion
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