Coherent Distortion Risk Measures in Portfolio Selection
The theme of this thesis relates to solving the optimal portfolio selection problems using linear programming. There are two key contributions in this thesis. The first contribution is to generalize the well-known linear optimization framework of Conditional Value-at-Risk (CVaR)-based portfolio sele...
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| Language: | en |
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2011
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| Online Access: | http://hdl.handle.net/10012/6169 |