Inverse portfolio problem with coherent risk measures
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Publication:321032
DOI10.1016/J.EJOR.2015.09.050zbMATH Open1346.91207OpenAlexW1825854501MaRDI QIDQ321032FDOQ321032
Authors: Bogdan Grechuk, Michael Zabarankin 
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2381/36136
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Cited In (8)
- The optimal portfolio problem with coherent risk measure constraints.
- Sensitivity analysis in applications with deviation, risk, regret, and error measures
- Direct data-based decision making under uncertainty
- Index policy for multiarmed bandit problem with dynamic risk measures
- On the solution uniqueness in portfolio optimization and risk analysis
- Inverse portfolio problem with mean-deviation model
- Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
- Synergy effect of cooperative investment
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