Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests (Q3143705): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1524/strm.2012.1118
+Normal rank
@@ Property / OpenAlex ID @@
+W112151146
@@ Property / OpenAlex ID: W112151146 / rank @@
+Normal rank
@@ Property / cites work @@
+Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+The optimal portfolio problem with coherent risk measure constraints.
+Normal rank
@@ Property / cites work @@
+Estimation of optimal portfolio compositions for Gaussian returns
+Normal rank
@@ Property / cites work @@
+A Test of the Efficiency of a Given Portfolio
@@ Property / cites work: A Test of the Efficiency of a Given Portfolio / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation for Markowitz Efficient Portfolios
@@ Property / cites work: Estimation for Markowitz Efficient Portfolios / rank @@
+Normal rank
@@ Property / cites work @@
+The Distribution of the Sample Minimum-Variance Frontier
+Normal rank
@@ Property / cites work @@
+Exact properties of measures of optimal investment for benchmarked portfolios
+Normal rank
@@ Property / cites work @@
+Higher moment coherent risk measures
@@ Property / cites work: Higher moment coherent risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
+Normal rank
@@ Property / cites work @@
+Distributional properties of portfolio weights
@@ Property / cites work: Distributional properties of portfolio weights / rank @@
+Normal rank
@@ Property / cites work @@
+On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
+Normal rank