Showing 1 - 4 of 4
Persistent link: https://www.econbiz.de/10012390467
Persistent link: https://www.econbiz.de/10012605415
This paper examines optimal portfolio selection using quantile-based risk measures such as Valueat-Risk (VaR) and Conditional Value-at-Risk (CVaR). We address the case of a singular covariance matrix of asset returns, which leads to an optimization problem with infinitely many solutions. An...
Persistent link: https://www.econbiz.de/10015084447
Persistent link: https://www.econbiz.de/10014636734