Portfolio optimization model based on conditional value-at-risk

MaRDI QIDQ3370906zbMATH OpenFDO

Authors Xiangyang Huang, Xuehua Chen, Huiyao Yang

Publication date 21 February 2006

zbMATH Keywords

mean-variance modelefficient frontier

Mathematics Subject Classification ID

Portfolio theory (91G10)

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(5)

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• Comparison of portfolio optimization models with real features: an empirical study based on Chinese stock market
• On Conditional Value-at-Risk Based Goal Programming Portfolio Selection Procedure
• Stability analysis of portfolio management with conditional value-at-risk
• Credit risk optimization with conditional Value-at-Risk criterion

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