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Applying the partitioned multiobjective risk method (PMRM) to portfolio selection
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MAP20071505805
Reyes Santos, Joost ‌
Applying the partitioned multiobjective risk method (PMRM) to portfolio selection / Joost Reyes Santos, Yacov Y. Haimes
Portfolio selection is a process of allocating an investor's wealth among several available assets. The study of portfolio optimization based on some performance criteria has been a long-standing area in both economics and finance . The expected return and risk are two important objectives in assessing the performance of a given portfolio. Portfolio risk is typically assessed as the variance of portfolio, which in turn is derived from the covariance of the asset returns
En: Risk analysis : an international journal. - New York and London. - nº 3, June 2004 ; p. 697-713
1. Bolsa de valores ‌. 2. Mercados financieros ‌. 3. Análisis de riesgos ‌. 4. Selección de riesgos ‌. 5. Métodos de optimización ‌. I. Haimes, Yacov Y. ‌. II. Title. III. Título: Risk analysis : an international journal.