A smooth non-parametric estimation framework for safety-first portfolio optimization
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- scientific article; zbMATH DE number 1247838
Cites work
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- scientific article; zbMATH DE number 1247838 (Why is no real title available?)
- Introduction to nonlinear and global optimization
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Cited in
(7)- Index tracking model, downside risk and non-parametric kernel estimation
- Portfolio optimization under safety first expected utility with nonlinear probability distortion
- Nonparametric mean-lower partial moment model and enhanced index investment
- A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations
- Two nonparametric approaches to mean absolute deviation portfolio selection model
- Gaussian and logistic adaptations of smoothed safety first
- Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness
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