Instability of Portfolio Optimization under Coherent Risk Measures.

Imre Kondor István Varga-Haszonits

Published in: Adv. Complex Syst. (2010)

Keyphrases

risk measures
portfolio optimization
portfolio selection
robust optimization
portfolio management
problems involving
risk management
factor analysis
stock market
optimization methods
bi objective
stock price
stock exchange
long term
non stationary
risk averse
efficient solutions
discriminant analysis
cost function