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  • Search: subject:"linearizable optimization problems"
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Probability metrics 2 behavioral finance ordering 2 coherent measures 2 linearizable optimization problems 2 stochastic orderings 2 tracking-error measures 2 Anlageverhalten 1 Behavioural finance 1 Mathematical programming 1 Mathematische Optimierung 1 Measurement 1 Messung 1 Portfolio selection 1 Portfolio-Management 1 Probability theory 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Wahrscheinlichkeitsrechnung 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
Author
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FABOZZI, FRANK J. 1 Fabozzi, Frank J. 1 LOZZA, SERGIO ORTOBELLI 1 Lozza, Sergio Ortobelli 1 SHALIT, HAIM 1 Shalit, Haim 1
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International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS
LOZZA, SERGIO ORTOBELLI; SHALIT, HAIM; FABOZZI, FRANK J. - In: International Journal of Theoretical and Applied … 16 (2013) 05, pp. 1350029-1
This paper theoretically and empirically investigates the connection between portfolio theory and ordering theory. In particular, we examine three different portfolio problems and the respective orderings used to rank investors' choices: (1) risk orderings, (2) variability orderings, and (3)...
Persistent link: https://www.econbiz.de/10011011290
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Cover Image
Portfolio selection problems consistent with given preference orderings
Lozza, Sergio Ortobelli; Shalit, Haim; Fabozzi, Frank J. - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-38
Persistent link: https://www.econbiz.de/10009783998
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