Mean-risk models using two risk measures: a multi-objective approach
Work
Year: 2007
Type: article
Abstract: This paper proposes a model for portfolio optimization, in which distributions are characterized and compared on the basis of three statistics: the expected value, the variance and the CVaR at a speci... more
Source: Quantitative Finance
Institution Brunel University of London
Cites: 29
Cited by: 116
Related to: 10
FWCI: 4.306
Citation percentile (by year/subfield): 97.21
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green