Brown, David B.; Sim, Melvyn - In: Management Science 55 (2009) 1, pp. 71-84
and behavioral science. Amer. Econom. Rev. 49(3) 253-283), we call these measures satisficing measures and show that they … of satisficing measures that reward diversification. Finding optimal portfolios for such satisficing measures is … computationally tractable. Moreover, this class of satisficing measures has an ambiguity interpretation in terms of robust guarantees …