A large CVaR-based portfolio selection model with weight constraints
Qifa Xu, Yingying Zhou, Cuixia Jiang, Keming Yu, Xufeng Niu
| Year of publication: |
December 2016
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|---|---|
| Authors: | Xu, Qifa ; Zhou, Yingying ; Jiang, Cuixia ; Yu, Keming ; Niu, Xufeng |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 59.2016, p. 436-447
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| Subject: | Finance | CVaR-based portfolio | Risk assessment | Weight constraints | Quantile regression | Portfolio-Management | Portfolio selection | Theorie | Theory | Regressionsanalyse | Regression analysis | Risikomaß | Risk measure | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2016.08.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011647901