Non-concave portfolio optimization with average value-at-risk
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Publication:6113171
DOI10.1007/s11579-023-00332-0zbMath1520.91379OpenAlexW4323050601MaRDI QIDQ6113171
Publication date: 10 July 2023
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-023-00332-0
average value-at-riskquantile formulationnon-concave portfolio optimizationrisk-neutral pricing constraint
Statistical methods; risk measures (91G70) Applications of mathematical programming (90C90) Portfolio theory (91G10)
Cites Work
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