Integrated models for portfolio planning: decision criteria and asset pricing.
Funder: Brunel University LondonDuration: 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 | Office | ||
|---|---|---|---|---|
|
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
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
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.