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Coherent Distortion Risk Measures in Portfolio Selection
Coherent Distortion Risk Measures in Portfolio Selection The theme of this paper relates ... American Intl Group Inc AIG Citigroup Inc. C Health Care CIGNA Corp. CI Humana Inc. HUM Industrials General ...Description: The theme of this paper relates to solving portfolio selection problems using linear programming. The authors extend the linear optimization framework for Conditional Value-at-Risk-based portfolio selection problems to optimization over a more general class of risk measure known as the class of Coherent Distortion Risk Measure. From Actuarial Research Clearing House, 2012 Vol. 1.
Hide- 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