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Volumn 618, Issue , 2009, Pages 243-252

On conditional value-at-risk based goal programming portfolio selection procedure

Author keywords

Conditional value at risk; Goal programming; Portfolio selection

Indexed keywords


EID: 60649119184     PISSN: 00758442     EISSN: None     Source Type: Book Series    
DOI: 10.1007/978-3-540-85646-7_23     Document Type: Article
Times cited : (6)

References (14)
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  • 6
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    • Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market
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    • Konno, H.1    Yamazaki, H.2
  • 7
    • 84995186518 scopus 로고
    • Portfolio selection
    • Markowitz HM (1952) Portfolio selection. J Finance VIII 1:77-91
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    • Markowitz, H.M.1
  • 9
    • 0038517974 scopus 로고    scopus 로고
    • Multiple criteria optimisation and decisions under risk
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    • (2002) Control Cybern , vol.31 , pp. 975-1003
    • Ogryczak, W.1
  • 10
    • 0002062038 scopus 로고    scopus 로고
    • Optimisation of conditional value at risk
    • Rockafellar R, Urysaev S (2000) Optimisation of conditional value at risk. J Risk 2:21-41
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    • Rockafellar, R.1    Urysaev, S.2
  • 11
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    • A simplified model for portfolio analysis
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    • Sharpe, W.1
  • 12
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    • The dual theory of choice under risk
    • Yaari ME (1987) The dual theory of choice under risk. Econometrica 55:95-115
    • (1987) Econometrica , vol.55 , pp. 95-115
    • Yaari, M.E.1
  • 13
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    • Stochastic dominance, mean variance and Gini's mean difference
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    • Yitzha, M.S.1
  • 14
    • 0032074641 scopus 로고    scopus 로고
    • A minimax portfolio selection rule with linear programming solution
    • Young M (1998) A minimax portfolio selection rule with linear programming solution. Manage Sci 44:673-683
    • (1998) Manage Sci , vol.44 , pp. 673-683
    • Young, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.