Portfolio optimization with a copula-based extension of conditional value-at-risk (Q286012)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Portfolio optimization with a copula-based extension of conditional value-at-risk |
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)
0 references
19 May 2016
0 references
multivariate risk measures
0 references
quantile risk measures
0 references
portfolio optimization
0 references
column generation algorithm
0 references
0 references
