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Coherent Distortion Risk Measures in Portfolio Selection
Coherent Distortion Risk Measures in Portfolio Selection The theme of this paper relates to solving ... programming. The authors extend the linear optimization framework for Conditional Value-at-Risk-based portfolio ...- Authors: Ken Seng Tan, Mingbin Feng
- Date: Jan 2012
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Modeling & Statistical Methods; Public Policy