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

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Boissaux, Marc; SCHILTZ, Jang

2011

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Practical weight-constrained conditioned portfolio optimisation using risk aversion indicator signals_2011(12).pdf

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Disciplines :

Finance

Author, co-author :

Boissaux, Marc

SCHILTZ, Jang ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF)

Language :

English

Title :

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

Publication date :

2011

Publisher :

University of Luxembourg, Luxembourg, Luxembourg

Number of pages :

Source :

Available on ORBilu :

since 12 September 2013

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113 (1 by Unilu)

Number of downloads

210 (2 by Unilu)