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ArticlePortfolio optimization under loss aversion

Cristinca Fulga2015

Article2015

Portfolio optimization under loss aversion

Cristinca Fulga

39 citations·0/0 files stored·European Journal of Operational Research

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Risk and Portfolio Optimization Decision-Making and Behavioral Economics Financial Risk and Volatility Modeling

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References

1979Prospect Theory: An Analysis of Decision under Risk 1988Prospect theory: An analysis of decision under risk 1992Advances in prospect theory: Cumulative representation of uncertainty 1952PORTFOLIO SELECTION*1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 1959Portfolio Selection: Efficient Diversification of Investments 2002Conditional value-at-risk for general loss distributions

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Year2015

Typearticle

Published2015-12-04

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations39

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.ejor.2015.11.038

openalex_workW2186018049

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