Practical weight-constrained conditioned portfolio optimisation using risk aversion indicator signals

Reference : Practical weight-constrained conditioned portfolio optimisation using risk aversion i...


	Document type :	E-prints/Working papers : Already available on another site
	Discipline(s) :	Business & economic sciences : Finance
	To cite this reference:	http://hdl.handle.net/10993/5915

Title :	Practical weight-constrained conditioned portfolio optimisation using risk aversion indicator signals
Language :	English
Author, co-author :	Boissaux, Marc []
	Schiltz, Jang [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
Publication date :	2011
Publisher :	University of Luxembourg
Collection and collection volume :	LSF Research Working Paper Series 11-12
Number of pages :	24
Peer reviewed :	No
City :	Luxembourg
Country :	Luxembourg
Permalink :	http://hdl.handle.net/10993/5915
source URL :	http://wwwen.uni.lu/recherche/fdef/luxembourg_school_of_finance_research_in_finance/working_papers/working_papers_2011

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Open access	Practical weight-constrained conditioned portfolio optimisation using risk aversion indicator signals_2011(12).pdf		Publisher postprint	608.38 kB	View/Open

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