Geometrical framework for robust portfolio optimization
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- Pavel Bazovkin & Karl Mosler, 2015. "A general solution for robust linear programs with distortion risk constraints," Annals of Operations Research, Springer, vol. 229(1), pages 103-120, June.
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More about this item
Keywords
Multivariate risk measure; robust portfolio optimization; weighted-mean trimmed regions; data central regions; convex risk measure; distortion risk measure;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-UPT-2014-12-13 (Utility Models and Prospect Theory)
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