Risk preference modeling with conditional average: An application to portfolio optimization

DOI10.1007/s10479-008-0387-1zbMath1163.91410OpenAlexW1965203359MaRDI QIDQ1026538

Adam Krzemienowski

Publication date: 25 June 2009

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-008-0387-1

zbMATH Keywords

portfolio optimizationstochastic dominanceexperimental analysisquantile risk measurespreference modeling

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (8)

A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem ⋮ CVaR (superquantile) norm: stochastic case ⋮ Portfolio optimization with disutility-based risk measure ⋮ On coherent risk measures induced by convex risk measures ⋮ Control of investment portfolio based on complex quantile risk measures ⋮ Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem ⋮ Twenty years of linear programming based portfolio optimization ⋮ Performance ratio-based coherent risk measure and its application

Uses Software

• CPLEX
• RiskMetrics

Cites Work

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• Credit risk optimization with conditional Value-at-Risk criterion

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