Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
Year of publication: |
2012
|
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Authors: | Bodnar, Taras ; Schmid, Wolfgang ; Zabolotskyy, Tara |
Published in: |
Statistics & Risk Modeling. - Oldenbourg Wissenschaftsverlag GmbH, ISSN 2193-1402, ZDB-ID 2630803-4. - Vol. 29.2012, 4, p. 281-314
|
Publisher: |
Oldenbourg Wissenschaftsverlag GmbH |
Subject: | asset allocation | efficient frontier | minimum VaR portfolio | minimum CVaR portfolio | parameter uncertainty |
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