Portfolio optimization with a copula-based extension of conditional value-at-risk (Q286012)
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scientific article; zbMATH DE number 6582848
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| English | Portfolio optimization with a copula-based extension of conditional value-at-risk |
scientific article; zbMATH DE number 6582848 |
Statements
Portfolio optimization with a copula-based extension of conditional value-at-risk (English)
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19 May 2016
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multivariate risk measures
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quantile risk measures
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portfolio optimization
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column generation algorithm
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0.848949670791626
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0.8458383679389954
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0.7997325658798218
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0.7995612621307373
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0.799156129360199
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