Portfolio optimization with disutility-based risk measure
详细信息 查看全文
- 作者：Cristinca Fulga ; fulga@csie.ase.ro" class="auth_mail" title="E-mail the corresponding author ; cristinca.fulga@gmail.com" class="auth_mail" title="E-mail the corresponding author
- 关键词：Quantile-based risk measures ; Mean-Risk model for portfolio optimization ; Utility functions
- 刊名：European Journal of Operational Research
- 出版年：2016
- 出版时间：1 June 2016
- 年：2016
- 卷：251
- 期：2
- 页码：541-553
- 全文大小：583 K
文摘
- •
We propose a disutility-based risk measure (DCVaR) and study its properties
- •
We propose the bi-objective portfolio model Mean-DCVaR and equivalent formulations
- •
Mean-DCVaR efficient portfolios differ markedly from the other Mean-Risk frontiers
- •
DCVaR efficient portfolios constitute improvement over CVaR/Var