Geometrical framework for robust portfolio optimization

Research, Preprint English OPEN
Bazovkin, Pavel;
  • Publisher: Cologne: University of Cologne, Institute of Econometrics and Statistics
  • Subject: data central regions | Multivariate risk measure,robust portfolio optimization,weighted-mean trimmed regions,data central regions,convex risk measure,distortion risk measure | Multivariate risk measure | robust portfolio optimization | convex risk measure | distortion risk measure | weighted-mean trimmed regions
    • ddc: ddc:330

We consider a vector-valued multivariate risk measure that depends on the user's profile given by the user's utility. It is constructed on the basis of weighted-mean trimmed regions and represents the solution of an optimization problem. The key feature of this measure ... View more
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