Quantile-based optimal portfolio selection
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Publication:2051167
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Cites work
- Asset allocation strategies based on penalized quantile regression
- Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
- Bayesian estimation of the global minimum variance portfolio
- Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty
- Coherent measures of risk
- Constructing optimal sparse portfolios using regularization methods
- Construction and inferences of the efficient frontier in elliptical models
- Determination and estimation of risk aversion coefficients
- Diversified portfolios with different entropy measures
- Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
- Elliptically contoured models in statistics and portfolio theory
- Estimation of the global minimum variance portfolio in high dimensions
- Fitting asset returns to skewed distributions: are the skew-normal and skew-Student good models?
- Global optimization advances in mixed-integer nonlinear programming, MINLP, and constrained derivative-free optimization, CDFO
- scientific article; zbMATH DE number 48335 (Why is no real title available?)
- Lectures on Stochastic Programming
- Log-robust portfolio management with parameter ambiguity
- Mean-CVaR portfolio selection: a nonparametric estimation framework
- Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
- On quantile cuts and their closure for chance constrained optimization problems
- On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
- Optimal shrinkage estimator for high-dimensional mean vector
- Portfolio choice via quantiles
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Tail variance of portfolio under generalized Laplace distribution
- Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting
Cited in
(10)- Optimal control of the investment portfolio with respect to the quantile criterion
- Quantitative portfolio selection: using density forecasting to find consistent portfolios
- A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
- Quantile portfolio optimization under risk measure constraints
- Minimax optimization of investment portfolio by quantile criterion
- Benchmarking the performance of portfolio optimization with QAOA
- scientific article; zbMATH DE number 1487967 (Why is no real title available?)
- Granularity Adjustment for Efficient Portfolios
- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
- Multi-period power utility optimization under stock return predictability
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