HIGHLIGHTS
- who: Kerem Uu011furlu from the Department of Mathematics, Nazarbayev University, Astana, Kazakhstan have published the paper: Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis, in the Journal: (JOURNAL)
- what: This paper discusses assessing multi-period risk of an investment using distortion operators.
- how: This paper discusses assessing multi-period risk of an investment using distortion operators. Using second order stochastic dominance (SSD) relations (Batabyal and Killinis 2021) and convex risk measures are alternatives (Ruszczynski 2010 Follmer and Penner 2006 Fritelli et_al 2002) to the proposed methodology in this . . .
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