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

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+Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
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+Coherent Measures of Risk
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+The optimal portfolio problem with coherent risk measure constraints.
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+Estimation of optimal portfolio compositions for Gaussian returns
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+A Test of the Efficiency of a Given Portfolio
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+Estimation for Markowitz Efficient Portfolios
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+The Distribution of the Sample Minimum-Variance Frontier
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+Exact properties of measures of optimal investment for benchmarked portfolios
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+Higher moment coherent risk measures
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+Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
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+Distributional properties of portfolio weights
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+On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
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