Practical Weight-Constrained Conditioned Portfolio Optimisation Using Risk Aversion Indicator Signals

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Boissaux, Marc; SCHILTZ, Jang

2011 • Forecasting Financial Markets 2011

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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 :

25 May 2011

Event name :

Forecasting Financial Markets 2011

Event place :

Marseille, France

Event date :

25.-27.5.2011

Audience :

International

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since 15 October 2013

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