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portfolio optimization sign in to follow this
distortion risk measure sign in to follow this
coherent risk measure sign in to follow this
asymmetry sign in to follow this
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Distortion Risk Measures in Portfolio Optimization
Year Of Publication: 2009
Month Of Publication: January
Pages: 27
Download Count: 5
View Count: 1819
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 12-27-2010
Publisher: Administrator
Summary
Distortion risk measures are perspective risk measures because they allow an asset manager to reflect a client’s attitude toward risk by choosing the appropriate distortion function. In this paper, the idea of asymmetry was applied to the standard construction of distortion risk measures. The new asymmetric distortion risk measures are derived based on the quadratic distortion function with different risk-averse parameters.
This document is published in Handbook of Portfolio Construction: Contemporary Applications of Markowitz. Springer (2010). pp.649-674.
http://amzn.to/eRd4aT
Author(s)
Rachev, Svetlozar Sign in to follow this author
Fabozzi, Frank J. Sign in to follow this author
Sun, Wei Sign in to follow this author
Stoyanov, Stoyan Sign in to follow this author
Bronshtein, Efim M. Sign in to follow this author
Sereda, Ekaterina N. Sign in to follow this author
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