Portfolio optimization with two coherent risk measures.
Tahsin Deniz AktürkÇagin AraratPublished in: J. Glob. Optim. (2020)
Keyphrases
- risk measures
- portfolio optimization
- portfolio selection
- robust optimization
- portfolio management
- problems involving
- factor analysis
- optimization methods
- stock market
- bi objective
- risk management
- stock price
- stock exchange
- network design
- efficient solutions
- risk averse
- stochastic programming
- decision making
- optimization problems
- cost function