Inverse portfolio problem with coherent risk measures
نویسندگان
چکیده
منابع مشابه
Inverse portfolio problem with coherent risk measures
In general, a portfolio problem minimizes risk (or negative utility) of a portfolio of financial assets with respect to portfolio weights subject to a budget constraint. The inverse portfolio problem then arises when an investor assumes that his/her risk preferences have a numerical representation in the form of a certain class of functionals, e.g. in the form of expected utility, coherent risk...
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2016
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2015.09.050