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Coherent Distortion Risk Measures in Portfolio Selection
formulations of CVaR portfolio selection problems. Fa´bia´n [17] considered CVaR objectives and constraints in two-stage ... 1−Sl(l(2)) · · · p(m) 1−Sl(l(m−1)) = 1 . (17) Since portfolio losses are discretely distributed ...- 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
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Coherent Distortion Risk Measures in Portfolio Selection
Coherent Distortion Risk Measures in Portfolio Selection The theme of this presentation relates ... parameter for Min-CDRM and vice versa. Ming Bin Feng 17/ 37 Introduction CDRM Optimization Case Studies ...- Authors: Ken Seng Tan, Mingbin Feng
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods; Reinsurance