Optimizing Measures of Risk: A Simplex-like Algorithm
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KeywordsRisk Measure. Deviation Measure. Portfolio Selection. Infinite-Dimensional Linear Programming. Simpl;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-09-23 (All new papers)
- NEP-FIN-2006-09-23 (Finance)
- NEP-FMK-2006-09-23 (Financial Markets)
- NEP-RMG-2006-09-23 (Risk Management)
- NEP-UPT-2006-09-23 (Utility Models & Prospect Theory)
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