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Integrated models for portfolio planning: decision criteria and asset pricing.

Funder: Brunel University London
Duration: November 2008 -

Integrated models for portfolio planning that account for downside risk, reflected both in the scenario generation method and in the decision model.

People

Name Telephone Email Office
Dr Diana Roman Dr Diana Roman
Senior Lecturer
(Principal investigator)
T: +44 (0)1895 267502
E: diana.roman@brunel.ac.uk
+44 (0)1895 267502 diana.roman@brunel.ac.uk Tower A 028

Outputs

Fábián, CI., Mitra, G. and Roman, D. (2011) 'Processing second order stochastic dominance models using cutting plane representations'. Mathematical Programming, 130 (1). pp. 33 - 37. ISSN: 0025-5610 Open Access Link

Journal article

Fabian, C., Mitra, G., Roman, D. and Zverovich, V. (2011) 'An enhanced model for portfolio choice with SSD criteria: A constructive approach'. Quantitative Finance, 11 (10). pp. 1525 - 1534. ISSN: 1469-7688

Journal article

Fábián, CI., Mitra, G., Roman, D., Zverovich, V., Vajnai, T., Csizmás, E. and et al. (2011) 'Portfolio choice models based on second-order stochastic dominance measures: An overview and a computational study', inInternational Series in Operations Research and Management Science. Springer New York. , 163. pp. 441 - 469. ISBN 13: 9781441995858.

Book chapter

Brunel University London
Kingston Lane
Uxbridge
Middlesex UB8 3PH

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