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Characterizing compromise solutions for investors with uncertain risk preferences

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Characterizing compromise solutions for investors with uncertain risk preferences

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Salas-Molina, F.; Rodriguez-Aguilar, JA.; Pla Santamaría, D. (2019). Characterizing compromise solutions for investors with uncertain risk preferences. Operational Research. 19(3):661-677. https://doi.org/10.1007/s12351-017-0309-6

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/152254

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Title: Characterizing compromise solutions for investors with uncertain risk preferences
Author: Salas-Molina, Francisco Rodriguez-Aguilar, Juan A. Pla Santamaría, David
UPV Unit: Universitat Politècnica de València. Departamento de Economía y Ciencias Sociales - Departament d'Economia i Ciències Socials
Issued date:
Abstract:
[EN] The optimum portfolio selection for an investor with particular preferences was proven to lie on the normalized efficient frontier between two bounds defined by the Ballestero (1998) bounding theorem. A deeper ...[+]
Subjects: Finance , Portfolio selection , Compromise programming , Discrete efficient-frontiers , Performance prediction
Copyrigths: Reserva de todos los derechos
Source:
Operational Research. (issn: 1109-2858 )
DOI: 10.1007/s12351-017-0309-6
Publisher:
Springer-Verlag
Publisher version: https://doi.org/10.1007/s12351-017-0309-6
Thanks:
Work partially funded by projects Collectiveware TIN2015-66863-C2-1-R (MINECO/FEDER) and 2014 SGR 118
Type: Artículo

References

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