Minimizing loss probability bounds for portfolio selection

DOI10.1016/j.ejor.2011.09.012zbMath1244.91108MaRDI QIDQ439383

Akiko Takeda, Jun-Ya Gotoh

Publication date: 16 August 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.09.012

zbMATH Keywords

fractional programming; portfolio optimization; finance; CVaR (conditional value-at-risk); SVM (support vector machine)

Mathematics Subject Classification ID

90C32: Fractional programming

91G80: Financial applications of other theories

91G10: Portfolio theory

Related Items

On distributional robust probability functions and their computations, Interaction between financial risk measures and machine learning methods, International portfolio choice and political instability risk: a multi-objective approach, Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures

Uses Software

• ElemStatLearn

Cites Work

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• Unnamed Item