Inverse portfolio problem with mean-deviation model
Bogdan Grechuk; Michael Zabrankin
| Year of publication: |
2014
|
|---|---|
| Authors: | Grechuk, Bogdan ; Zabrankin, Michael |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 234.2014, 2 (1.4.), p. 481-490
|
| Subject: | Risk preferences | Portfolop optimization | Deviation measure | Conditional value-at-risk | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risikopräferenz | Risk attitude | Mathematische Optimierung | Mathematical programming |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010356717