CVaR-LASSO Enhanced Index Replication (CLEIR) : outperforming by minimizing downside risk

Brian Gendreau, Yong Jin, Mahendrarajah Nimalendran and Xiaolong Zhong

Year of publication:	2019
Authors:	Gendreau, Brian C. ; Jin, Yong ; Nimalendran, Mahendrarajah ; Zhong, Xiaolong
Subject:	conditional value-at-risk \| enhanced indexation \| LASSO \| Stochastic programming \| Portfolio-Management \| Portfolio selection \| Risikomaß \| Risk measure \| Stochastischer Prozess \| Stochastic process \| Aktienindex \| Stock index \| Theorie \| Theory \| Mathematische Optimierung \| Mathematical programming \| Risikomanagement \| Risk management

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