We extend the classical risk minimization model with scalar risk measures to the general case of set-valued risk measures. The problem we obtain is a set-valued optimization model and we propose a goal programming-based approach with satisfaction function to obtain a solution which represents the best compromise between goals and the achievement levels. Numerical examples are provided to illustrate how the method works in practical situations.
A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification / M. Maggis, D. La Torre. - In: INFOR. - ISSN 0315-5986. - 50:3(2012), pp. 117-126. [10.3138/infor.50.3.117]
A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
M. MaggisPrimo
;D. La TorreUltimo
2012
Abstract
We extend the classical risk minimization model with scalar risk measures to the general case of set-valued risk measures. The problem we obtain is a set-valued optimization model and we propose a goal programming-based approach with satisfaction function to obtain a solution which represents the best compromise between goals and the achievement levels. Numerical examples are provided to illustrate how the method works in practical situations.File | Dimensione | Formato | |
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