Sep 29, 2021 · In this paper, we apply the Aumann–Serrano index of riskiness to the mean-risk portfolio optimization. We use a time series model with normal ...
In the empirical study, we observe that the optimal portfolio outperforms benchmarks based on a 10-year backtesting window covering the financial crisis.
The paper is devoted to study the portfolio optimization problem for an investor who aims to minimize the exposure to equity markets measured by the ...
Abstract: The paper is devoted to study the portfolio optimization problem for an investor who aims to minimize the exposure to equity markets measured by ...
Sep 29, 2021 · The paper is devoted to study the portfolio optimization problem for an investor who aims to minimize the exposure to equity markets ...
Dec 15, 2021 · Bibliographic details on Aumann-Serrano index of risk in portfolio optimization.
Sep 29, 2021 · The paper is devoted to study the portfolio optimization problem for an investor who aims to minimize the exposure to equity markets ...
We present a new implication of Aumann and Serrano's (2008) index of riskiness for decision makers: if one gamble is riskier than another gamble, decision ...
Missing: optimization. | Show results with:optimization.
Oct 1, 2021 · Very happy that our work on the Aumann-Serrano risk in portfolio optimization has finally been published. It is a great team effort for all ...
Dec 9, 2024 · Investigators from Shenzhen University Have Reported New Data on Mathematical Methods (Aumann-serrano Index of Risk In Portfolio Optimization).