Quantile-based optimal portfolio selection
From MaRDI portal
Publication:2051167
DOI10.1007/s10287-021-00395-8OpenAlexW3046948291MaRDI QIDQ2051167
Taras Bodnar, Joanna Tyrcha, Erik Thorsén, Mathias Lindholm
Publication date: 24 November 2021
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-021-00395-8
Related Items (3)
Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions ⋮ Multi-period power utility optimization under stock return predictability ⋮ A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
Cites Work
- Unnamed Item
- Estimation of the global minimum variance portfolio in high dimensions
- Diversified portfolios with different entropy measures
- Global optimization advances in mixed-integer nonlinear programming, MINLP, and constrained derivative-free optimization, CDFO
- Mean-CVaR portfolio selection: a nonparametric estimation framework
- On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
- Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
- Determination and estimation of risk aversion coefficients
- Tail variance of portfolio under generalized Laplace distribution
- Optimal shrinkage estimator for high-dimensional mean vector
- Bayesian estimation of the global minimum variance portfolio
- Log-robust portfolio management with parameter ambiguity
- Asset allocation strategies based on penalized quantile regression
- On quantile cuts and their closure for chance constrained optimization problems
- Constructing optimal sparse portfolios using regularization methods
- Fitting asset returns to skewed distributions: are the skew-normal and skew-Student good models?
- Coherent Measures of Risk
- Elliptically Contoured Models in Statistics and Portfolio Theory
- Construction and Inferences of the Efficient Frontier in Elliptical Models
- PORTFOLIO CHOICE VIA QUANTILES
- Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
- Lectures on Stochastic Programming
- Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty
- Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting
This page was built for publication: Quantile-based optimal portfolio selection