Inverse portfolio problem with mean-deviation model
Year of publication: |
2014
|
---|---|
Authors: | Grechuk, Bogdan ; Zabarankin, Michael |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 234.2014, 2, p. 481-490
|
Publisher: |
Elsevier |
Subject: | Risk preferences | Portfolio optimization | Deviation measure | Conditional value-at-risk |
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