2007•Unpublished venueRequires access
Portfolio selection under multiple risk measures
Chunhui Xu, Jie Wang, Akiya Inoue
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Abstract
The present paper considers portfolio selection problems when the investor's
risk preferences are expressed with more than one risk measure, and proposes
a method for solving optimization models for portfolio selection with multiple risk measures.
Portfolio selection experiments are conducted to show the effectiveness of
the proposed model and solution method.