Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework
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Publication:2408890
DOI10.1007/s11766-017-3472-xzbMath1389.62084OpenAlexW2593403910MaRDI QIDQ2408890
Publication date: 20 October 2017
Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11766-017-3472-x
Cites Work
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- Coherent Measures of Risk
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
- Vast Portfolio Selection With Gross-Exposure Constraints
- Convex Analysis
- Safety First and the Holding of Assets
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