Add to ORKGThe purpose of this thesis is to develop a portfolio selection approach that is theoretically similar to Markowitz Mean Variance model, that is, to maximize return for a given risk; flexible enough to incorporate a wide variety of assets and risk types; and if possible able to andle portfolios with a large number of assets efficiently.Master of Science (Financial Engineering
In this paper, we employ the Conditional Value at Risk (CVaR) to measure the portfolio risk, and pro...
In this paper, we extend Maslow’s need hierarchy theory and the two-level optimization approach by d...
Which characteristics of a portfolio are important, how can we select an optimal portfolio and which...
The purpose of this thesis is to develop a portfolio selection approach that is theoretically simila...
Portfolio selection problems have been largely discussed both in a deterministic and in a stochastic...
Optimal portfolio selection has been an area of great focus ever since the inception of modern portf...
The thesis mainly deals with a comparison of two methods that could be used in portfolio optimizatio...
The aim of this research is to apply the variance and conditional value at risk (CVaR) as risk measu...
Although the traditional CVaR-based portfolio methods are successfully used in practice, the size of...
Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, in...
In this paper, we analyze the portfolio selection implications arising from imposing a value-at-risk...
In times of great insecurity and turbulence on every major stock exchange, it is evident that contro...
Standard Deviation is a commonly used risk measures in risk management and portfolio optimization. O...
The problem of investing money is common to citizens, families and companies. In this chapter, we in...
Several approaches exist to model decision making under risk, where risk can be broadly defined as t...
In this paper, we employ the Conditional Value at Risk (CVaR) to measure the portfolio risk, and pro...
In this paper, we extend Maslow’s need hierarchy theory and the two-level optimization approach by d...
Which characteristics of a portfolio are important, how can we select an optimal portfolio and which...
The purpose of this thesis is to develop a portfolio selection approach that is theoretically simila...
Portfolio selection problems have been largely discussed both in a deterministic and in a stochastic...
Optimal portfolio selection has been an area of great focus ever since the inception of modern portf...
The thesis mainly deals with a comparison of two methods that could be used in portfolio optimizatio...
The aim of this research is to apply the variance and conditional value at risk (CVaR) as risk measu...
Although the traditional CVaR-based portfolio methods are successfully used in practice, the size of...
Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, in...
In this paper, we analyze the portfolio selection implications arising from imposing a value-at-risk...
In times of great insecurity and turbulence on every major stock exchange, it is evident that contro...
Standard Deviation is a commonly used risk measures in risk management and portfolio optimization. O...
The problem of investing money is common to citizens, families and companies. In this chapter, we in...
Several approaches exist to model decision making under risk, where risk can be broadly defined as t...
In this paper, we employ the Conditional Value at Risk (CVaR) to measure the portfolio risk, and pro...
In this paper, we extend Maslow’s need hierarchy theory and the two-level optimization approach by d...
Which characteristics of a portfolio are important, how can we select an optimal portfolio and which...