Portfolio value-at-risk optimization for asymmetrically distributed asset returns
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Publication:1926869
DOI10.1016/j.ejor.2012.03.012zbMath1253.91167OpenAlexW3122662914MaRDI QIDQ1926869
Melvyn Sim, Weina Zhang, Joel Weiqiang Goh, Kian-Guan Lim
Publication date: 29 December 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/lkcsb_research/3241
portfolio optimizationrisk managementasymmetric distributionspartitioned value-at-riskrobust risk measures
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