Portfolio optimization with conditional value-at-risk objective and constraints
Top Cited Papers
- 1 March 2001
- journal article
- Published by Infopro Digital Services Limited in Journal of Risk
- Vol. 4 (2) , 43-68
- https://doi.org/10.21314/jor.2002.057
Abstract
Recently, a new approach for optimization of conditional value-at-risk (CVAR) was suggested and tested with several applications...., Original Research, Portfolio optimisationKeywords
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