Scenario aggregation method for portfolio expectile optimization
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Publication:308418
DOI10.1515/STRM-2016-0008zbMATH Open1346.90575OpenAlexW3122537131MaRDI QIDQ308418FDOQ308418
Authors: Edgars Jakobsons 
Publication date: 6 September 2016
Published in: Statistics \& Risk Modeling (Search for Journal in Brave)
Full work available at URL: http://doc.rero.ch/record/325889/files/strm-2016-0008.pdf
Recommendations
- Mean-expectile portfolio selection
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- On dual approaches to efficient optimization of LP computable risk measures for portfolio selection
- Portfolio optimization with two coherent risk measures
Linear programming (90C05) Approximations to statistical distributions (nonasymptotic) (62E17) Portfolio theory (91G10)
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Cited In (8)
- Scenario optimization asset and liability modelling for individual investors
- Penalized enhanced portfolio replication with asymmetric deviation measures
- Mean-expectile portfolio selection
- Scenario aggregation method for portfolio expectile optimization
- Risk parity with expectiles
- Expectiles In Risk Averse Stochastic Programming and Dynamic Optimization
- Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection
- Scenario-based portfolio model for building robust and proactive strategies
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