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Coherent Distortion Risk Measures in Portfolio Selection
with the decision vector x, to be chosen from a set S ⊆ Rn, and the random vector y ∈ Rm. The vector x represents ... represents what we may generally call a portfolio, with S capturing the set of all feasible portfolios subject ...- 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