Essays about: "Coherent Distortion Riks Measures"
Found 1 essay containing the words Coherent Distortion Riks Measures.
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1. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures
University essay from KTH/Matematisk statistikAbstract : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. READ MORE
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