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

Francisco Fernández‐NavarroMariano Carbonero-RuzAntonio M. Durán-Rosal2026-03-222026-03-22202310.2139/ssrn.4494088https://doi.org/10.2139/ssrn.4494088https://andeanlibrary.org/handle/123456789/84189enPortfolio optimizationPortfolioRisk aversion (psychology)Mathematical optimizationEconomicsRobust optimizationEconometricsOptimization problemComputer scienceActuarial scienceA Hybrid Optimization and Data-Driven Approach to Understand the Role of the Risk-Aversion Profile Parameter in Portfolio Optimization Problems with Shorting Constraintspreprint