On the use of conditional expectation in portfolio selection problems
Publication:1730733
DOI10.1007/S10479-018-2890-3zbMath1419.91590OpenAlexW2803314276WikidataQ129807804 ScholiaQ129807804MaRDI QIDQ1730733
Noureddine Kouaissah, Sergio Ortobelli, Tomas Tichý
Publication date: 6 March 2019
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-018-2890-3
conditional expectationperformance measuresheavy tailed distributionlarge-scale portfolio selectionreturn approximation
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Portfolio theory (91G10)
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