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Portfolio optimization using a new probabilistic risk measure
1. | Department of Mathematics and Statistics, Curtin University, Kent Street, Bentley, WA 6102, Australia, Australia, Australia, Australia |
References:
[1] |
P. Artzner, F. Delbaen, J. M. Eber and D. Heath, Coherent measures of risk, Mathematical Finance, 9 (1999), 203-228.
doi: 10.1111/1467-9965.00068. |
[2] |
X. Q. Cai, K. L. Teo, X. Q. Yang and X. Y. Zhou, Portfolio optimization under a minimax rule, Management Science, 46 (2000), 957-972.
doi: 10.1287/mnsc.46.7.957.12039. |
[3] |
X. T. Cui, S. S. Zhu, X. L. Sun and D. Li, Nonlinear portfolio selection using approximate parametric Value-at-Risk, Journal of Banking & Finance, 37 (2013), 2124-2139.
doi: 10.1016/j.jbankfin.2013.01.036. |
[4] |
X. T. Deng, Z. F. Li and S. Y. Wang, A minimax portfolio selection strategy with equilibrium, European Journal of Operational Research, 166 (2005), 278-292.
doi: 10.1016/j.ejor.2004.01.040. |
[5] |
H. Konno, Piecewise linear risk function and portfolio optimization, Journal of the Operations Research Society of Japan, 33 (1990), 139-156. |
[6] |
H. Konno and K. Suzuki, A mean-variance-skewness optimization model, Journal of the Operations Research Society of Japan, 38 (1995), 137-187. |
[7] |
H. Konno and H. Yamazaki, Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market, Management Science, 37 (1991), 519-531.
doi: 10.1287/mnsc.37.5.519. |
[8] |
X. Li and Z. Y. Wu, Dynamic downside risk measure and optimal asset allocation,, Presented at FMA., ().
|
[9] |
P. C. Lin, Portfolio optimization and risk measurement based on non-dominated sorting genetic algorithm, Journal Of Industrial And Management Optimization, 8 (2012), 549-564.
doi: 10.3934/jimo.2012.8.549. |
[10] |
H. Markowitz, Portfolio Selection, The Journal of Finance, 7 (1952), 77-91. |
[11] |
H. Markowitz, Portfolio Selection: Efficient Diversification of Investment, John Wiley & Sons, New York, 1959. |
[12] |
G. G. Polak, D. F. Rogers and D. J. Sweeney, Risk management strategies via minimax portfolio optimization, European Journal of Operational Research, 207 (2010), 409-419.
doi: 10.1016/j.ejor.2010.04.025. |
[13] |
K. L. Teo and X. Q. Yang, Portfolio selection problem with minimax type risk function, Annals of Operations Research, 101 (2001), 333-349.
doi: 10.1023/A:1010909632198. |
[14] |
T. L. Vincent and W. J. Grantham, Optimality in Parametric Systems, John Wiley & Sons, New York, 1981. |
[15] |
H. X. Yao, Z. F. Li and Y. Z. Lai, Mean-CVaR portfolio selection: A nonparametric estimation framework, Computers and Operations Research, 40 (2013), 1014-1022.
doi: 10.1016/j.cor.2012.11.007. |
show all references
References:
[1] |
P. Artzner, F. Delbaen, J. M. Eber and D. Heath, Coherent measures of risk, Mathematical Finance, 9 (1999), 203-228.
doi: 10.1111/1467-9965.00068. |
[2] |
X. Q. Cai, K. L. Teo, X. Q. Yang and X. Y. Zhou, Portfolio optimization under a minimax rule, Management Science, 46 (2000), 957-972.
doi: 10.1287/mnsc.46.7.957.12039. |
[3] |
X. T. Cui, S. S. Zhu, X. L. Sun and D. Li, Nonlinear portfolio selection using approximate parametric Value-at-Risk, Journal of Banking & Finance, 37 (2013), 2124-2139.
doi: 10.1016/j.jbankfin.2013.01.036. |
[4] |
X. T. Deng, Z. F. Li and S. Y. Wang, A minimax portfolio selection strategy with equilibrium, European Journal of Operational Research, 166 (2005), 278-292.
doi: 10.1016/j.ejor.2004.01.040. |
[5] |
H. Konno, Piecewise linear risk function and portfolio optimization, Journal of the Operations Research Society of Japan, 33 (1990), 139-156. |
[6] |
H. Konno and K. Suzuki, A mean-variance-skewness optimization model, Journal of the Operations Research Society of Japan, 38 (1995), 137-187. |
[7] |
H. Konno and H. Yamazaki, Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market, Management Science, 37 (1991), 519-531.
doi: 10.1287/mnsc.37.5.519. |
[8] |
X. Li and Z. Y. Wu, Dynamic downside risk measure and optimal asset allocation,, Presented at FMA., ().
|
[9] |
P. C. Lin, Portfolio optimization and risk measurement based on non-dominated sorting genetic algorithm, Journal Of Industrial And Management Optimization, 8 (2012), 549-564.
doi: 10.3934/jimo.2012.8.549. |
[10] |
H. Markowitz, Portfolio Selection, The Journal of Finance, 7 (1952), 77-91. |
[11] |
H. Markowitz, Portfolio Selection: Efficient Diversification of Investment, John Wiley & Sons, New York, 1959. |
[12] |
G. G. Polak, D. F. Rogers and D. J. Sweeney, Risk management strategies via minimax portfolio optimization, European Journal of Operational Research, 207 (2010), 409-419.
doi: 10.1016/j.ejor.2010.04.025. |
[13] |
K. L. Teo and X. Q. Yang, Portfolio selection problem with minimax type risk function, Annals of Operations Research, 101 (2001), 333-349.
doi: 10.1023/A:1010909632198. |
[14] |
T. L. Vincent and W. J. Grantham, Optimality in Parametric Systems, John Wiley & Sons, New York, 1981. |
[15] |
H. X. Yao, Z. F. Li and Y. Z. Lai, Mean-CVaR portfolio selection: A nonparametric estimation framework, Computers and Operations Research, 40 (2013), 1014-1022.
doi: 10.1016/j.cor.2012.11.007. |
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