Cui, Xueting; Zhu, Shushang; Sun, Xiaoling; Li, Duan - In: Journal of Banking & Finance 37 (2013) 6, pp. 2124-2139
As the skewed return distribution is a prominent feature in nonlinear portfolio selection problems which involve derivative assets with nonlinear payoff structures, Value-at-Risk (VaR) is particularly suitable to serve as a risk measure in nonlinear portfolio selection. Unfortunately, the...