Inverse portfolio problem with mean-deviation model

European Journal of Operational Research

Volumn 234, Issue 2, 2014, Pages 481-490

  Grechuk, Bogdan ^a   Zabarankin, Michael ^b  

^a UNIVERSITY OF LEICESTER   (United Kingdom)

^b Stevens Institute of Technology   (United States)

Author keywords

Conditional value at risk; Deviation measure; Portfolio optimization; Risk preferences

Indexed keywords

CLOSED-FORM REPRESENTATIONS; CONDITIONAL VALUE-AT-RISK; DEVIATION MEASURES; EXPECTED RETURN; PORTFOLIO OPTIMIZATION; PORTFOLIO SELECTION PROBLEMS; RATE OF RETURN; RISK PREFERENCE;

EARNINGS; FINANCIAL DATA PROCESSING; RISK ASSESSMENT;

INVERSE PROBLEMS;

EID: 84890857961     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2013.04.056     Document Type: Article

References (22)

1. R.-A. Dana A representation result for concave Schur-concave functions Mathematical Finance 15 4 2005 613 634
2. H. Föllmer, and A. Schied Stochastic Finance second ed. 2004 de Gruyter Berlin New York
3. B. Grechuk, A. Molyboha, and M. Zabarankin Maximum entropy principle with general deviation measures Mathematics of Operations Research 34 2 2009 445 467
4. B. Grechuk, A. Molyboha, and M. Zabarankin Mean-deviation analysis in the theory of choice Risk Analysis: An International Journal 32 8 2012 1277 1292
5. B. Grechuk, A. Molyboha, and M. Zabarankin Cooperative games with general deviation measures Mathematical Finance 23 2 2013 339 365
6. B. Grechuk, and M. Zabarankin Schur convex functionals: Fatou property and representation Mathematical Finance 22 2 2012 411 418
7. D. Kahneman, and A. Tversky Prospect theory: an analysis of decision under risk Econometrica 47 1979 263 291
8. K. Kalinchenko, R.T. Rockafellar, and S. Uryasev Calibrating risk preferences with generalized CAPM based on mixed CVaR deviation Journal of Risk 15 1 2012 45 70
9. M. Kopa, and P. Chovanec A second-order stochastic dominance portfolio efficiency measure Kybernetika 44 2 2008 243 258
10. H.M. Markowitz Portfolio selection The Journal of Finance 7 1 1952 77 91
11. A. Müller, and D. Stoyan Comparison Methods for Stochastic Models and Risks 2002 John Wiley and Sons Chichester
12. J. Von Neumann, and O. Morgenstern Theory of Games and Economic Behavior third ed. 1953 Princeton University Press
13. R.T. Rockafellar, and S. Uryasev Conditional value-at-risk for general loss distributions The Journal of Banking Finance 26 2002 1443 1471
14. R.T. Rockafellar, S. Uryasev, M. Zabarankin, Deviation measures in risk analysis and optimization, Technical Report 2002-7, Industrial and Systems Engineering Department, University of Florida, 2002.
15. R.T. Rockafellar, S. Uryasev, and M. Zabarankin Generalized deviations in risk analysis Finance & Stochastics 10 1 2006 51 74
16. R.T. Rockafellar, S. Uryasev, and M. Zabarankin Optimality conditions in portfolio analysis with general deviation measures Mathematical Programming 108 2-3 2006 515 540
17. R.T. Rockafellar, S. Uryasev, and M. Zabarankin Master funds in portfolio analysis with general deviation measures The Journal of Banking and Finance 30 2 2006 743 778
18. R.T. Rockafellar, S. Uryasev, and M. Zabarankin Equilibrium with investors using a diversity of deviation measures The Journal of Banking and Finance 31 11 2007 3251 3268
19. A. Roell Risk aversion in Quiggin and Yaaris rank-order model of choice under uncertainty Economic Journal 97 388a 1987 143 159
20. M.E. Yaari The dual theory of choice under risk Econometrica 55 1987 95 115
21. C. Zalinescu Convex Analysis in General Vector Spaces 2002 World Scientific Publishing
22. http://www.ise.ufl.edu/uryasev/research/testproblems/financial- engineering/portfolio-optimization-with-second-orders-stochastic-dominance- constraints/.