Portfolio optimization with disutility-based risk measure
Cristinca Fulga (Department of Applied Mathematics, Bucharest University of Economic Studies, Bucharest, Romania)
| Year of publication: |
2016
|
|---|---|
| Authors: | Fulga, Cristinca |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 251.2016, 2 (1.6.), p. 541-553
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| Subject: | Quantile-based risk measures | Mean-Risk model for portfolio optimization | Utility functions | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Risiko | Risk | Nutzenfunktion | Utility function | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2015.11.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011444347