Efficient portfolios and extreme risks: a Pareto-Dirichlet approach

DOI10.1007/S10479-023-05507-YMaRDI QIDQ6546994zbMATH OpenFDO

Authors Olivier Le Courtois, Xia Xu

Publication date 30 May 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10479-023-05507-Y

zbMATH Keywords

Dirichlet distributionefficient portfolioextreme riskgeneralized Sharpe ratioportfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

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