Author:
Pepelyaev V. A.,Golodnikova N. A.
Publisher
Springer Science and Business Media LLC
Reference7 articles.
1. H. Markowitz, “Portfolio selection,” The J. Finance, 7, No. 1, 77–91 (1952), http://www.math.ust.hk/~maykwok/courses/ma362/07F/markowitz_JF.pdf .
2. S. Uryasev, “Conditional value-at-risk: Optimization algorithms and applications,” Financ. Eng. News, No. 14, 1–5 (2000).
3. R. T. Rockafellar and S. Uryasev, “Optimization of conditional value-at-risk,” J. Risk, 2, No. 3, 21–41 (2000).
4. R. T. Rockafellar and S. Uryasev, “Conditional value-at-risk for general loss distributions,” J. Bank. and Finance, 26, 1443–1471 (2002).
5. American Optimal Decisions Portfolio Safeguard (PSG) in Windows Shell Environment: Basic Principles, AORDA, Gainesville, FL (2011).
Cited by
13 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献