Portfolio optimization with disutility-based risk measure
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- Guo, Sini & Yu, Lean & Li, Xiang & Kar, Samarjit, 2016. "Fuzzy multi-period portfolio selection with different investment horizons," European Journal of Operational Research, Elsevier, vol. 254(3), pages 1026-1035.
More about this item
KeywordsQuantile-based risk measures; Mean-Risk model for portfolio optimization; Utility functions;
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