Estimating allocations for value-at-risk portfolio optimization
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Cites work
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Cited in
(20)- Value at risk for confidence level quantifications in robust engineering optimization
- In search of robust methods for multi-currency portfolio construction by value at risk
- Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization
- Determining and Allocating Diversification Benefits for a Portfolio of Risks
- A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms
- Estimating probabilities relevant to calculating relative risk-corrected returns of alternative portfolios
- Portfolio selection based on a nonlinear neural network: An application on the Istanbul Stock Exchange (ISE30)
- Distribution assumptions and risk constraints in portfolio optimization
- Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
- Backtesting portfolio value‐at‐risk with estimated portfolio weights
- Forecasting compositional risk allocations
- Determination and estimation of risk aversion coefficients
- Mean-risk model for uncertain portfolio selection with background risk and realistic constraints
- Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix
- scientific article; zbMATH DE number 1836444 (Why is no real title available?)
- Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management
- How does the choice of Value-at-Risk estimator influence asset allocation decisions?
- scientific article; zbMATH DE number 7387532 (Why is no real title available?)
- Medium range optimization of copper extraction planning under uncertainty in future copper prices
- Mean-VaR portfolio optimization: a nonparametric approach
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