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Register a new userA Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
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Marco Maggis Doctor
Publication date
2012
fields
Financial
and research's language is
English
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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.
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