Portfolio optimization model based on conditional value-at-risk
From MaRDI portal
Publication:3370906
zbMATH Open1123.91323MaRDI QIDQ3370906FDOQ3370906
Authors: Xiangyang Huang, Xuehua Chen, Huiyao Yang 
Publication date: 21 February 2006
Recommendations
- scientific article
- CVaR robust mean-CVaR portfolio optimization model and the solving methods
- Comparison of portfolio optimization models with real features: an empirical study based on Chinese stock market
- Mean-risk models using two risk measures: a multi-objective approach
- Conditional value-at-risk: optimization approach
Cited In (5)
- Credit risk optimization with conditional Value-at-Risk criterion
- Stability analysis of portfolio management with conditional value-at-risk
- 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
- Title not available (Why is that?)
This page was built for publication: Portfolio optimization model based on conditional value-at-risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3370906)
