Mean-CVaR portfolio selection: a nonparametric estimation framework

DOI10.1016/J.COR.2012.11.007zbMATH Open1349.91323OpenAlexW2040153945MaRDI QIDQ340307FDOQ340307

Authors: Haixiang Yao, Yongzeng Lai, Zhongfei Li 

Publication date: 14 November 2016

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2012.11.007

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zbMATH Keywords

nonparametric estimationconvex optimizationMonte Carlo simulationportfolio selectionconditional value-at-risk

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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