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Long-short portfolio optimization in the presence of discrete asset choice constraints and two risk measures
Kumar, Ritesh; Mitra, Gautam; Roman, Diana - In: Journal of risk 13 (2010/11) 2, pp. 71-100
Persistent link: https://www.econbiz.de/10008807862
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Mean-risk models using two risk measures : a multi-objective approach
Roman, Diana; Darby-Dowman, Kenneth; Mitra, Gautam - In: Quantitative fund management, (pp. 393-423). 2009
Persistent link: https://www.econbiz.de/10003797023
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Kernel conditional quantile estimation for stationary processes with application to conditional value-at-risk
Wu, Wei Biao; Yu, Keming; Mitra, Gautam - In: Journal of financial econometrics : official journal of … 6 (2008) 2, pp. 253-270
Persistent link: https://www.econbiz.de/10003687936
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Novel approaches for portfolio construction using second order stochastic dominance
Valle, Christiano Arbex; Roman, Diana; Mitra, Gautam - In: Computational Management Science : CMS 14 (2017) 2, pp. 257-280
Persistent link: https://www.econbiz.de/10011710779