Portfolio selection under multiple risk measures
Keywords:Portfolio selection, Risk, Return, Soft approach, Optimization, Value-at-Risk, Mean-Variance model.
AbstractThe 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.
How to Cite
Xu, C., Wang, J., & Inoue, A. (2007). Portfolio selection under multiple risk measures. Proceedings of the 51st Annual Meeting of the ISSS - 2007, Tokyo, Japan, 51(2). Retrieved from https://journals.isss.org/index.php/proceedings51st/article/view/707