The Minimization of the Risk of Falling in Portfolios under Uncertainty.
Yuji YoshidaPublished in: IFSA/EUSFLAT Conf. (2009)
Keyphrases
- risk measures
- portfolio optimization
- risk averse
- optimal portfolio
- portfolio selection
- expected utility
- robust optimization
- investment decisions
- risk aversion
- portfolio management
- high risk
- risk management
- inherent uncertainty
- risk assessment
- decision makers
- chance constraints
- extreme events
- image processing
- portfolio assessment
- stochastic programming
- uncertain data
- stock market
- utility function