Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Roberto Daris"'
Publikováno v:
Axioms, Vol 13, Iss 3, p 148 (2024)
Chipman contended, in stark contrast to the conventional view, that, utility is not a real number but a vector, and that it is inherently lexicographic in nature. On the other hand, in recent years continuous multi-utility representations of a preord
Externí odkaz:
https://doaj.org/article/a74c59ad988a4b16822b9766750fe135
Autor:
Massimiliano Kaucic, Roberto Daris
Publikováno v:
Managing Global Transitions, Vol 14, Iss 4, Pp 359-384 (2017)
In this paper we propose a novel interval optimization approach for portfolio selection when imprecise forecasts are available. We consider investors acting their choices according to the prospect theory, where scenarios are provided in the form o
Externí odkaz:
https://doaj.org/article/67041ac7324a4f459d08baf897257fc5
Autor:
Massimiliano Kaucic, Roberto Daris
Publikováno v:
Risks, Vol 3, Iss 3, Pp 390-419 (2015)
In the paper, we introduce a multi-objective scenario-based optimization approach for chance-constrained portfolio selection problems. More specifically, a modified version of the normal constraint method is implemented with a global solver in order
Externí odkaz:
https://doaj.org/article/4587dbc74c8d492abaa5bd63d8da5843
Autor:
Massimiliano Kaucic, Roberto Daris
Publikováno v:
Economic research-Ekonomska istraživanja
Volume 30
Issue 1
Volume 30
Issue 1
A novel interval optimisation approach is developed to include imprecise forecasts into the portfolio selection process for investors measuring upside potential and downside risk as deviations from a target return. Crisp scenarios are substituted by
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::79a366a7c46102bcd822f86a991d7e52
https://hdl.handle.net/11368/2911542
https://hdl.handle.net/11368/2911542
Autor:
Massimiliano Kaucic, Roberto Daris
Publikováno v:
Managing Global Transitions, Vol 14, Iss 4, Pp 359-384 (2017)
In this paper we propose a novel interval optimization approach for portfolio selection when imprecise forecasts are available. We consider investors acting their choices according to the prospect theory, where scenarios are provided in the form of a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::32afaccb25e5ff71a26820ff1307be8e
http://www.fm-kp.si/zalozba/ISSN/1581-6311/14_359-384.pdf
http://www.fm-kp.si/zalozba/ISSN/1581-6311/14_359-384.pdf