Portfolio optimization using a new probabilistic risk measure

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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...

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Bibliographic Details
Main Authors:	Sun, Y., Aw, Ee-Ling Grace, Teo, Kok Lay, Zhou, Guanglu
Format:	Journal Article
Published:	American Institute of Mathematical Sciences 2015
Online Access:	http://hdl.handle.net/20.500.11937/12065

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