Kaucic, Massimiliano; Moradi, Mojtaba; Mirzazadeh, Mohmmad - In: Financial innovation : FIN 5 (2019) 26, pp. 1-28
In this study, we analyze three portfolio selection strategies for loss-averse investors: semi-variance, conditional value-at-risk, and a combination of both risk measures. Moreover, we propose a novel version of the non-dominated sorting genetic algorithm II and of the strength Pareto...
