Inverse portfolio problem with coherent risk measures
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Cites work
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- Inverse portfolio problem with mean-deviation model
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- Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
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Cited in
(10)- The optimal portfolio problem with coherent risk measure constraints.
- Direct data-based decision making under uncertainty
- Inverse portfolio problem with mean-deviation model
- Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
- Sensitivity analysis in applications with deviation, risk, regret, and error measures
- Synergy effect of cooperative investment
- Index policy for multiarmed bandit problem with dynamic risk measures
- On the solution uniqueness in portfolio optimization and risk analysis
- Benchmark-based deviation and drawdown measures in portfolio optimization
- Optimizing sequential decision-making under risk: strategic allocation with switching penalties
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