Portfolio optimization with a copula-based extension of conditional value-at-risk (Q286012): Difference between revisions
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Latest revision as of 14:51, 13 November 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization with a copula-based extension of conditional value-at-risk |
scientific article |
Statements
Portfolio optimization with a copula-based extension of conditional value-at-risk (English)
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19 May 2016
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multivariate risk measures
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quantile risk measures
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portfolio optimization
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column generation algorithm
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