Portfolio Optimization with Quasiconvex Risk Measures.

Elisa Mastrogiacomo Emanuela Rosazza Gianin

Published in: Math. Oper. Res. (2015)

Keyphrases

risk measures
quasiconvex
portfolio optimization
objective function
utility function
portfolio selection
portfolio management
factor analysis
robust optimization
problems involving
risk management
stock market
bi objective
optimization methods
stock price
stock exchange
discriminant analysis
lower bound