Direct data-driven portfolio optimization with guaranteed shortfall probability (Q1940255)
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scientific article; zbMATH DE number 6142030
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| default for all languages | No label defined |
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| English | Direct data-driven portfolio optimization with guaranteed shortfall probability |
scientific article; zbMATH DE number 6142030 |
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Direct data-driven portfolio optimization with guaranteed shortfall probability (English)
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6 March 2013
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scenario design
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portfolio optimization
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asset allocation
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data-driven methods
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random convex programs
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value-at-risk
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0.7699289917945862
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0.7657837867736816
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0.7643620371818542
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0.7581281065940857
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0.7508959174156189
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