Distortion Risk Measures in Portfolio Optimization

被引：31
|
作者：
Sereda, Ekaterina N. [1 ]
Bronshtein, Efim M. [2 ]
Rachev, Svetozar T. [3 ,4 ,5 ,6 ]
Fabozzi, Frank J. [7 ]
Sun, Wei [8 ]
Stoyanov, Stoyan V. [6 ]
机构：
[1] Univ Karlsruhe, HECTOR Sch Engn & Management, Karlsruhe, Germany
[2] Ufa State Aviat Tech Univ, Ufa, Russia
[3] Univ Karlsruhe, Karlsruhe, Germany
[4] KIT, Karlsruhe, Germany
[5] Univ Calif Santa Barbara, Santa Barbara, CA 93106 USA
[6] FinAnalytica Inc, Seattle, WA USA
[7] Yale Sch Management, New Haven, CT USA
[8] Univ Karlsruhe, Sch Econ & Business Engn, Karlsruhe, Germany
来源：
HANDBOOK OF PORTFOLIO CONSTRUCTION: CONTEMPORARY APPLICATIONS OF MARKOWITZ TECHNIQUE | 2010年
关键词：
DUAL THEORY; CHOICE;
D O I：
10.1007/978-0-387-77439-8_25
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
引用
收藏
页码：649 / +
页数：4
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