A mean CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution
Shangmei Zhao; Qing Lu; Liyan Han; Yong Liu; Fei Hu
| Year of publication: |
2015
|
|---|---|
| Authors: | Zhao, Shangmei ; Lu, Qing ; Han, Liyan ; Liu, Yong ; Hu, Fei |
| Published in: |
Annals of operations research ; 226. - New York, NY : Springer. - 2015, p. 727-739
|
| Subject: | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010490203