Portfolio Risk Management with CVaR-Like Constraints
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Publication:3088971
DOI10.1080/10920277.2010.10597579zbMath1219.91132OpenAlexW3122424748MaRDI QIDQ3088971
Luis F. Zuluaga, Ruilin Tian, Yijia Lin, S. H. jun. Cox
Publication date: 23 August 2011
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2010.10597579
Applications of mathematical programming (90C90) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)
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