Suboptimality in portfolio conditional value-at-risk optimization
Edgars Jakobsons
| Year of publication: |
April 2016
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|---|---|
| Authors: | Jakobsons, Edgars |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 18.2015/2016, 4, p. 1-23
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| Subject: | portfolio optimization | conditional value-at-risk (CVaR) | discretization error | suboptimality | linear programming (LP) | heavy tails | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011578360