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.

Keywords


Portfolio selection, Risk, Return, Soft approach, Optimization, Value-at-Risk, Mean-Variance model.

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