Portfolio optimization with two 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: Journal of Global Optimization
سال: 2020
ISSN: 0925-5001,1573-2916
DOI: 10.1007/s10898-020-00922-y