Portfolio optimization using a new probabilistic risk measure
In this paper, we introduce a new portfolio selection method. Our method is innovative and flexible. An explicit solution is obtained, and the selection method allows for investors with dierent degree of risk aversion. The portfolio selection problem is formulated as a bi-criteria optimization probl...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
American Institute of Mathematical Sciences
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/12065 |