A Hybrid Optimization and Data-Driven Approach to Understand the Role of the Risk-Aversion Profile Parameter in Portfolio Optimization Problems with Shorting Constraints
Year of publication: |
[2023]
|
---|---|
Authors: | Fernandez-Navarro, Francisco ; Carbonero-Ruz, Mariano ; Durán-Rosal, Antonio |
Publisher: |
[S.l.] : SSRN |
Subject: | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikoaversion | Risk aversion |
-
Portfoliooptimierung nach Tobin
Specht, Katja, (2009)
-
Utility maximization, risk aversion, and stochastic dominance
Beiglböck, Mathias, (2011)
-
Risk-averse asymptotics for reservation prices
Carassus, Laurence, (2011)
- More ...
-
Measuring the image of private university as a generic product: Validation of a scale
Alcaide-Pulido, Purificación, (2022)
-
Lasarte-López, Jesús Miguel, (2021)
-
Galnares, Carlos, (2023)
- More ...