Mean-CVaR portfolio selection: a nonparametric estimation framework (Q340307)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 6652554
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Mean-CVaR portfolio selection: a nonparametric estimation framework |
scientific article; zbMATH DE number 6652554 |
Statements
Mean-CVaR portfolio selection: a nonparametric estimation framework (English)
0 references
14 November 2016
0 references
portfolio selection
0 references
conditional value-at-risk
0 references
nonparametric estimation
0 references
convex optimization
0 references
Monte Carlo simulation
0 references
0.8039284944534302
0 references
0.7962436676025391
0 references
0.7914478182792664
0 references
0.7900506258010864
0 references
0.7893076539039612
0 references
