Inverse portfolio problem with mean-deviation model
Year of publication: |
2014
|
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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 |
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