8 search results - page 1 / 2 » Instability of Portfolio Optimization under Coherent Risk Me... |
67
Voted
ADVCS
2010
14 years 10 months ago
2010
It is shown that the axioms for coherent risk measures imply that whenever there is a pair of portfolios such that one of them dominates the other one in a given sample (which hap...
90
Voted
FS
2006
14 years 10 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...
MANSCI
2008
14 years 10 months ago
2008
Value-at-Risk (VaR) is one of the most widely accepted risk measures in the financial and insurance industries, yet efficient optimization of VaR remains a very difficult problem....
88
Voted
IMCSIT
2010
14 years 8 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 ...
70
Voted
FS
2006
14 years 10 months ago
2006
General deviation measures are introduced and studied systematically for their potential applications to risk management in areas like portfolio optimization and engineering. Such...