Inverse portfolio problem with mean-deviation model

DOI10.1016/J.EJOR.2013.04.056MaRDI QIDQ2514720zbMATH OpenOpenAlexFDO

Authors Bogdan Grechuk, Michael Zabarankin

Publication date 3 February 2015

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

Full work available at URL https://doi.org/10.1016/j.ejor.2013.04.056

zbMATH Keywords

conditional value-at-riskdeviation measureportfolio optimizationrisk preferences

Mathematics Subject Classification ID

Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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Cites work

• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• A second-order stochastic dominance portfolio efficiency measure
• Comparison methods for stochastic models and risks
• Cooperative games with general deviation measures
• Generalized deviations in risk analysis
• scientific article; zbMATH DE number 1807400 (Why is no real title available?)
• scientific article; zbMATH DE number 3084669 (Why is no real title available?)
• Maximum entropy principle with general deviation measures
• Optimality conditions in portfolio analysis with general deviation measures
• Prospect Theory: An Analysis of Decision under Risk
• Schur convex functionals: Fatou property and representation
• Stochastic finance. An introduction in discrete time
• The Dual Theory of Choice under Risk

Cited in

(13)

• On dynamic deviation measures and continuous-time portfolio optimization
• Regression analysis: likelihood, error and entropy
• Direct data-based decision making under uncertainty
• Individual and cooperative portfolio optimization as linear program
• Risk averse decision making under catastrophic risk
• Inverse portfolio problem with coherent risk measures
• Sensitivity analysis in applications with deviation, risk, regret, and error measures
• A simple SSD-efficiency test
• Optimization with stochastic preferences based on a general class of scalarization functions
• Synergy effect of cooperative investment
• Utility-deviation-risk portfolio selection
• On the solution uniqueness in portfolio optimization and risk analysis
• Benchmark-based deviation and drawdown measures in portfolio optimization

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