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Quantile-based optimal portfolio selection

Taras Bodnar, Mathias Lindholm, Erik Thorsén, Joanna Tyrcha
Year of publication:
2021
Authors: Bodnar, Taras ; Lindholm, Mathias ; Thorsén, Erik ; Tyrcha, Joanna
Subject: Quantile-based return measure | VaR | CVaR | CVoR | Optimal portfolios | Elliptically contoured distributions | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure
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