Portfolio selection under multiple risk measures

Authors

  • Chunhui Xu
  • Jie Wang
  • Akiya Inoue

Keywords:

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

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.

Published

2007-07-31

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

Issue

Papers: 51st Annual Meeting

Section

Optimization