Mean-risk models using two risk measures: A multi-objective approach

Quantitative Finance

Volumn 7, Issue 4, 2007, Pages 443-458

  Roman, Diana ^a   Darby Dowman, Kenneth ^a   Mitra, Gautam ^a  

^a BRUNEL UNIVERSITY   (United Kingdom)

Author keywords

Conditional Value at Risk; Multi objective optimisation; Portfolio selection; Risk measures

Indexed keywords

EID: 34548308614     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680701448456     Document Type: Article

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