-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean …Portfolio optimization and quantitative risk management have been studied extensively since the 1990s and began to … reevaluate and mitigate the risk and return trade-off in building their clients´ portfolios. The advancement of machine …

of LP. However, using non-linear risk measures and including real features and frictions may pose a challenge. In this … paper, we solve the optimization problem of minimum portfolio risk for seven measures using linear programming under … cardinality constraints. The risk measures used are Expected Loss, Expected Loss Deviation, Expected Shortfall, Shortfall …