IMCSIT
2010
13 years 2 months ago
2010
The portfolio optimization problem is modeled as a mean-risk bicriteria optimization problem where the expected return is maximized and some (scalar) risk measure is minimized. In ...
IOR
2006
13 years 4 months ago
2006
The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice ...
FS
2006
13 years 4 months ago
2006
In this paper we investigate portfolio optimization in a Black-Scholes continuoustime setting under quantile based risk measures: value at risk, capital at risk and relative value...
GECCO
2008
Springer
13 years 5 months ago
2008
Springer
Investors vary with respect to their expected return and aversion to associated risk, and hence also vary in their performance expectations of the stock market portfolios they hol...
GECCO
2009
Springer
13 years 9 months ago
2009
Springer
The Portfolio Optimization problem consists of the selection of a group of assets to a long-term fund in order to minimize the risk and maximize the return of the investment. This...
ISIPTA
2005
IEEE
13 years 10 months ago
2005
IEEE
This paper addresses the problem of market risk management for a company in the electricity industry. When dealing with corporate volumetric exposure, there is a need for a method...