Mean-CVaR portfolio selection: a nonparametric estimation framework

DOI10.1016/j.cor.2012.11.007zbMath1349.91323OpenAlexW2040153945MaRDI QIDQ340307

Yongzeng Lai, Haixiang Yao, Zhong-Fei 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

zbMATH Keywords

convex optimizationMonte Carlo simulationportfolio selectionnonparametric estimationconditional value-at-risk

Mathematics Subject Classification ID

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