A Hybrid Optimization and Data-Driven Approach to Understand the Role of the Risk-Aversion Profile Parameter in Portfolio Optimization Problems with Shorting Constraints

Date

2023

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

RELX Group (Netherlands)

Abstract

Description

Keywords

Portfolio optimization, Portfolio, Risk aversion (psychology), Mathematical optimization, Economics, Robust optimization, Econometrics, Optimization problem, Computer science, Actuarial science

Citation

DOI

10.2139/ssrn.4494088

URI

https://doi.org/10.2139/ssrn.4494088
 https://andeanlibrary.org/handle/123456789/84189

Collections

Artículo Científico (Preprint)