A note on optimal portfolio corresponding to the CVaR ratio
Reza Keykhaei
| Year of publication: |
October-December 2017
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|---|---|
| Authors: | Keykhaei, Reza |
| Published in: |
RAIRO / Operations research. - Les Ulis : EDP Sciences, ISSN 0399-0559, ZDB-ID 1481534-5. - Vol. 51.2017, 4, p. 921-930
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| Subject: | Reward-risk ratio optimization | CVaR ratio | optimal portfolio | linear programming | subderivative | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Risikomaß | Risk measure | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1051/ro/2016055 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011859070