Liquidity risk and instabilities in portfolio optimization
Year of publication: |
August 2016
|
---|---|
Authors: | Caccioli, Fabio ; Kondor, Imre ; Marsili, Matteo |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 5, p. 1-28
|
Subject: | Portfolio optimization | estimation error | expected shortfall | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Schätztheorie | Estimation theory |
-
Making Cornish-Fisher fit for risk measurement
Lamb, John D., (2019)
-
Claußen, Arndt, (2019)
-
Portfolio optimization under Expected Shortfall : contour maps of estimation error
Caccioli, Fabio, (2018)
- More ...
-
$L_p$ regularized portfolio optimization
Caccioli, Fabio, (2014)
-
Contour map of estimation error for Expected Shortfall
Kondor, Imre, (2015)
-
Optimal liquidation strategies regularize portfolio selection
Caccioli, Fabio, (2013)
- More ...