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    Portfolio optimization using a new probabilistic risk measure

    Access Status
    Open access via publisher
    Authors
    Sun, Y.
    Aw, Ee-Ling Grace
    Teo, Kok Lay
    Teo, Kok Lay
    Zhou, Guanglu
    Date
    2015
    Type
    Journal Article
    
    Metadata
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    Citation
    Sun, Y. and Aw, E.G. and Teo, K.L. and Teo, K.L. and Zhou, G. 2015. Portfolio optimization using a new probabilistic risk measure. Journal of Industrial and Management Optimization (JIMO). 11 (4): pp. 1275-1283.
    Source Title
    Journal of Industrial and Management Optimization (JIMO)
    DOI
    10.3934/jimo.2015.11.1275
    ISSN
    1553-166X
    School
    Department of Mathematics and Statistics
    URI
    http://hdl.handle.net/20.500.11937/12065
    Collection
    • Curtin Research Publications
    Abstract

    In this paper, we introduce a new portfolio selection method. Our method is innovative and flexible. An explicit solution is obtained, and the selection method allows for investors with dierent degree of risk aversion. The portfolio selection problem is formulated as a bi-criteria optimization problem which maximizes the expected portfolio return and minimizes the maximum individual risk of the assets in the portfolio. The ecient frontier using our method is compared with various ecient frontiers in the literature and found to be superior to others in the mean-variance space.

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