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Nested Conditional Value-at-Risk portfolio selection : a model with temporal dependence driven by market-index volatility
Staino, Alessandro; Russo, Emilio - In: European journal of operational research : EJOR 280 (2020) 2, pp. 741-753
Persistent link: https://www.econbiz.de/10012132469
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Minimum capital requirement and portfolio allocation for non-life insurance : a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
Staino, Alessandro; Russo, Emilio; Costabile, Massimo; … - In: Computational management science 20 (2023) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10014228472