Non-concave portfolio optimization with average value-at-risk

Fangyuan Zhang

Year of publication:	2023
Authors:	Zhang, Fangyuan
Subject:	Average value-at-risk \| Non-concave portfolio optimization \| Quantile formulation \| Risk-neutral pricing constraint \| Portfolio-Management \| Portfolio selection \| Risikomaß \| Risk measure \| Theorie \| Theory \| Mathematische Optimierung \| Mathematical programming

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doi.org

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1007/s11579-023-00332-0 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014328920