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Coherent Distortion Risk Measures in Portfolio Selection
Distortion Risk Measures in Portfolio Selection The theme of this paper relates to solving portfolio selection ... selection problems using linear programming. The authors extend the linear optimization framework for Conditional ...- 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