Portfolio optimization based on spectral risk measures
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Recommendations
- Spectral coherent risk measures in the portfolio optimization problems
- Risk Measurement with Spectral Capital Allocation
- Portfolio selection with multiple spectral risk constraints
- Portfolio optimization with two coherent risk measures
- Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
Cited in
(14)- Spectral risk measures: the risk quadrangle and optimal approximation
- Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach
- Portfolio optimization using a new probabilistic risk measure
- Consistent modeling of risk averse behavior with spectral risk measures
- On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
- Portfolio optimization with disutility-based risk measure
- PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
- Risk Measurement with Spectral Capital Allocation
- Portfolio selection with tail nonlinearly transformed risk measures -- a comparison with mean-CVaR analysis
- Robust spectral risk optimization when information on risk spectrum is incomplete
- Portfolio selection with multiple spectral risk constraints
- Spectral coherent risk measures in the portfolio optimization problems
- Portfolio selection based on extended Gini shortfall risk measures
- Spectral risk measure of holding stocks in the long run
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