Portfolio Optimization via a Surrogate Risk Measure: Conditional Desirability Value at Risk (CDVaR).

I. Ilkay Boduroglu

Published in: LION (2018)

Keyphrases

portfolio optimization
portfolio management
risk management
risk measures
portfolio selection
factor analysis
problems involving
bi objective
robust optimization
stock market
optimization methods
stock exchange
investment decisions
stock price
multiple objectives
risk averse
efficient solutions
expert systems