Multiportfolio Optimization With CVaR Risk Measure

Journal of Data, Information and Management
doi 10.1007/s42488-019-00007-w
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Springer Science and Business Media LLC

Related search

Enhanced Index Tracking With CVaR-based Ratio Measures

Annals of Operations Research
Management ScienceDecision SciencesOperations Research
2020English

Strong Consistency of CVaR Optimal Estimator

Open Journal of Statistics
2018English

Risk-Sensitive Portfolio Optimization With Transaction Costs

Journal of Computational Finance
Applied MathematicsComputer Science ApplicationsFinance
2004English

Dynamic Asset Allocation With Regime Shifts and Long Horizon CVaR-Constraints

SSRN Electronic Journal
2013English

Moment-Based CVaR Estimation: Quasi-Closed Formulas

SSRN Electronic Journal
2011English

New Risk Measure and Idiosyncratic Risk in Taiwan Stock Market

International Journal of Financial Research
FinanceBusinessEconomicsInternational ManagementAccountingEconometrics
2013English

Risk Multidimensional Measure of Complex Accident System

2014English

Non-Cash Risk Measure on Nonconvex Sets

Mathematics
Mathematics
2018English

The Risk of the Polish Equity Funds in the Years 2004-2018 Determined Using the Var and Cvar Measures

Metody Ilościowe w Badaniach Ekonomicznych
2019English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2025 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy