Risk-adjusted probability measures in portfolio optimization with coherent measures of risk.
Naomi MillerAndrzej RuszczynskiPublished in: Eur. J. Oper. Res. (2008)
Keyphrases
- portfolio optimization
- risk measures
- probability measures
- risk management
- portfolio management
- problems involving
- portfolio selection
- factor analysis
- robust optimization
- investment decisions
- optimization methods
- bi objective
- stock market
- decision making
- stock exchange
- neural network
- belief functions
- probability measure
- optimization problems