Mean-expectile portfolio selection (Q2041013)
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scientific article; zbMATH DE number 7371820
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Mean-expectile portfolio selection |
scientific article; zbMATH DE number 7371820 |
Statements
Mean-expectile portfolio selection (English)
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15 July 2021
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expectiles
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portfolio selection
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efficient frontier
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performance measures
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omega
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0.8067168593406677
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0.8009143471717834
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0.7710785269737244
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0.7562054395675659
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0.7541384100914001
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