Portfolio selection under multiple risk measures
Chunhui Xu, Jie Wang, Akiya Inoue
Abstract
The present paper considers portfolio selection problems when the investor's
risk preferences are expressed with more than one risk measure, and proposes
a method for solving optimization models for portfolio selection with multiple risk measures.
Portfolio selection experiments are conducted to show the effectiveness of
the proposed model and solution method.
risk preferences are expressed with more than one risk measure, and proposes
a method for solving optimization models for portfolio selection with multiple risk measures.
Portfolio selection experiments are conducted to show the effectiveness of
the proposed model and solution method.
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