Portfolio optimization with disutility-based risk measure
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Cites work
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- Coherent measures of risk
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- Convex measures of risk and trading constraints
- Enhanced indexation based on second-order stochastic dominance
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- Mean-risk analysis with enhanced behavioral content
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- Nondifferentiability of the steady-state function in discrete event dynamic systems
- Objective comparisons of the optimal portfolios corresponding to different utility functions
- Portfolio selection in stochastic markets with HARA utility functions
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- Risk preferences and loss aversion in portfolio optimization
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- Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
- The practice of portfolio replication. A practical overview of forward and inverse problems
Cited in
(11)- Portfolio optimization using a new probabilistic risk measure
- Portfolio selection in quantile decision models
- Optimal portfolios on mean-diversification efficient frontiers
- Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach
- The loss-averse newsvendor problem with quantity-oriented reference point under CVaR criterion
- A new rank dependent utility approach to model risk averse preferences in portfolio optimization
- THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
- Copula-based Black-Litterman portfolio optimization
- Portfolio optimization under loss aversion
- Fuzzy multi-period portfolio selection with different investment horizons
- Nonlinearly transformed risk measures: properties and application to optimal reinsurance
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