Abstract
With the application of the pessimistic decision-making method, we make our portfolio selection with the objective of “maximum loss minimization”. First, we develop a maximum ordinary loss minimization model and then we form a maximum mean excess loss minimization model on the basis of the CVaR risk measurement. On the basis of the two models, we put forward a new concept loss gap and define it. Last, we establish a maximum loss gap minimization model and discuss the relationship between it and the MV model.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
