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Advances in Portfolio Selection: Reference Points, Conditional Value-at-Risk, Mean-Variance Induced Utility Functions and Predictable Forward Processes

机译：投资组合选择的进步：参考点，条件风险值，均值方差诱发的效用函数和可预测的正向过程

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作者
Strub, Moris Simon.;
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作者单位

The Chinese University of Hong Kong (Hong Kong).;

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授予单位 The Chinese University of Hong Kong (Hong Kong).;
学科
学位 Ph.D.
年度 2018
页码 222 p.
总页数 222
原文格式 PDF
正文语种 eng
中图分类
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1. Conditional Value-at-Risk, spectral risk measures and(non-)diversification in portfolio selection problems - A comparison with mean-variance analysis [J] . Mario Brandtner Journal of banking & finance . 2013,第12期

机译：投资组合选择问题中的条件风险价值，频谱风险度量和（非）分散-与均值方差分析的比较
2. A random-fuzzy portfolio selection DEA model using value-at-risk and conditional value-at-risk [J] . Shiraz Rashed Khanjani, Tavana Madjid, Fukuyama Hirofumi Soft computing: A fusion of foundations, methodologies and applications . 2020,第22期

机译：一种随机模糊的产品组合选择DEA模型，使用价值 - 风险和条件值 - 风险
3. Continuous-time mean-variance portfolio selection with value-at-risk and no-shorting constraints [J] . Yan W. International Journal of Control . 2012,第1a3期

机译：具有风险价值和无卖空约束的连续时间均方差投资组合选择
4. Mean-Variance Portfolio Optimization by Using Non Constant Mean and Volatility Based on the Negative Exponential Utility Function [C] . Endang Soeryana, Nurfadhlina Bt Abdul Halim, Sukono, International Conference on Applied Statistics . 2017

机译：根据负指数效用功能使用非恒定均值和波动性的平均值 - 方差组合优化
5. Robust Value-at-Risk (VaR) Portfolio Selection Problem Under the Joint Ellipsoidal Uncertainty Set In the Presence of Transactions Costs. [D] . Park, Hyekyung. 2017

机译：在存在交易成本的联合椭圆不确定性集合下的鲁棒风险价值（VaR）资产组合选择问题。
6. Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary [O] . Chubing Zhang -1

机译：具有随机工资的定额供款养恤基金的均值方差投资组合选择
7. Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes [O] . Elena Vigna 100

机译：CRRa和CaRa效用函数的均值 - 方差无效率，用于定额供款养老金计划中的投资组合选择

Advances in Portfolio Selection: Reference Points, Conditional Value-at-Risk, Mean-Variance Induced Utility Functions and Predictable Forward Processes

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