Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios

DOI10.1155/2020/2767231zbMath1459.91182MaRDI QIDQ783138

Yu Shi, Xia Zhao, Fengwei Jiang, Yipin Zhu

Publication date: 30 July 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/2767231

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G10: Portfolio theory

Uses Software

• glasso