TY - JOUR AU - Xu, Chunhui AU - Wang, Jie AU - Inoue, Akiya PY - 2007/07/31 Y2 - 2024/03/28 TI - Portfolio selection under multiple risk measures JF - Proceedings of the 51st Annual Meeting of the ISSS - 2007, Tokyo, Japan JA - ISSS VL - 51 IS - 2 SE - DO - UR - https://journals.isss.org/index.php/proceedings51st/article/view/707 SP - AB - 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. ER -