On the use of conditional expectation in portfolio selection problems

DOI10.1007/s10479-018-2890-3zbMath1419.91590OpenAlexW2803314276WikidataQ129807804 ScholiaQ129807804MaRDI QIDQ1730733

Noureddine Kouaissah, Sergio Ortobelli, Tomas Tichý

Publication date: 6 March 2019

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-2890-3

zbMATH Keywords

conditional expectationperformance measuresheavy tailed distributionlarge-scale portfolio selectionreturn approximation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Portfolio theory (91G10)

Related Items (2)

Research on the portfolio model based on mean-MF-DCCA under multifractal feature constraint ⋮ Robust conditional expectation reward-risk performance measures

Uses Software

• robustbase

Cites Work

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