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

DOI10.1155/2020/2767231zbMATH Open1459.91182OpenAlexW3042452684MaRDI QIDQ783138FDOQ783138

Authors: 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

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Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
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Cited In (7)

• Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
• Resolution of degeneracy in Merton's portfolio problem
• A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION
• The sparse method of simulated quantiles: An application to portfolio optimization
• High-dimensional sparse portfolio selection with nonnegative constraint
• High-frequency portfolio optimization with long-term CVaR constraints
• Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework

Uses Software

• glasso

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