A cost-effective approach to portfolio construction with range-based risk measures

Chi Seng Pun and Lei Wang

Year of publication:	2021
Authors:	Pun, Chi Seng ; Wang, Lei
Subject:	ℓ 2 -regularized portfolios \| Portfolio optimization \| Risk measures \| Robustness \| Statistical learning theory \| Support vector regression \| Transaction costs \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Transaktionskosten \| Risikomaß \| Risk measure \| Risiko \| Risk \| Messung \| Measurement

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