Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6898019 | European Journal of Operational Research | 2013 | 32 Pages |
Abstract
⺠We propose a portfolio optimization model with active control on systematic risk allocation. ⺠This portfolio selection model also serves a purpose of risk sensitivity control. ⺠By exploring its special structure, we proposed a numerically efficient solution method. ⺠Empirical study shows the necessity of systematical control/risk sensitivity control. ⺠Numerical experiments demonstrate the efficiency of the solution method.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Yingjie Li, Shushang Zhu, Donghui Li, Duan Li,