Portfolio optimization with nonparametric value at risk : a block coordinate descent method
Xueting Cui, Xiaoling Sun, Shushang Zhu, Rujun Jiang, Duan Li
| Year of publication: |
2018
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|---|---|
| Authors: | Cui, Xueting ; Sun, Xiaoling ; Zhu, Shushang ; Jiang, Rujun ; Li, Duan |
| Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 30.2018, 3, p. 454-471
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| Subject: | portfolio selection | nonparametric VaR | kernel | BCD method | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics | Theorie | Theory | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/ijoc.2017.0793 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011948064