Centro de Documentacion de Fundación MAPFRE - Applying the partitioned multiobjective risk method (PMRM) to portfolio selection

MAP20071505805

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. Título. III. Título: Risk analysis : an international journal.