AMBIGUOUS RISK MEASURES AND PIECEWISE LINEAR UTILITY MODELS IN PORTFOLIO MANAGEMENT

AMBIGUOUS RISK MEASURES AND PIECEWISE LINEAR UTILITY MODELS IN PORTFOLIO MANAGEMENT

Master's

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Bibliographic Details
Main Author: JOLINE ANN VILLARANDA UICHANCO
Other Authors: SINGAPORE-MIT ALLIANCE
Format: Theses and Dissertations
Published: 2019
Subjects:
Robust portfolio optimization
Optimized Certainty Equivalent
Ambigu-ous Risk Measures
convex risk measure
Online Access:https://scholarbank.nus.edu.sg/handle/10635/153975
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Institution: National University of Singapore

Internet

https://scholarbank.nus.edu.sg/handle/10635/153975

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