Conditional value-at-risk in portfolio optimization: coherent but fragile (Q635502): Difference between revisions
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Revision as of 01:12, 11 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Conditional value-at-risk in portfolio optimization: coherent but fragile |
scientific article |
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Conditional value-at-risk in portfolio optimization: coherent but fragile (English)
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19 August 2011
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portfolio optimization
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conditional value-at-risk
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expected shortfall
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coherent measures of risk
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mean-CVaR optimization
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mean-variance optimization
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