The α-tail distance with an application to portfolio optimization under different market conditions
Han Yang, Ming-hui Wang, Nan-jing Huang
| Year of publication: |
2021
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|---|---|
| Authors: | Yang, Han ; Wang, Ming-hui ; Huang, Nan-jing |
| Subject: | α-Tail distance | Market condition | Hierarchical clustering | Portfolio optimization | Cardinality constraints | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-020-09997-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012697908