Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility
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Publication:2273929
DOI10.1016/j.ejor.2019.07.032zbMath1431.91369OpenAlexW2964169074WikidataQ127487828 ScholiaQ127487828MaRDI QIDQ2273929
Alessandro Staino, Emilio Russo
Publication date: 18 September 2019
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2019.07.032
stochastic programmingportfolio selectiontime-consistencyconditional value-at-riskcubic spline interpolation
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Cites Work
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