A comprehensive evaluation of constrained mean-expectile portfolios with short selling
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Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s10479-024-06224-w.pdf
Reference51 articles.
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3. Babat, O., Vera, J. C., & Zuluaga, I. F. (2018). Computing near-optimal value-at-risk portfolios using integer programming techniques. European Journal of Operational Research, 266(1), 304–315.
4. Bellini, F., & Di Bernardino, E. (2017). Risk management with expectiles. European Journal of Finance, 23(6), 487–506.
5. Bellini, F., & Bignozzi, V. (2015). On elicitable risk measures. Quantitative Finance, 15(5), 725–733.
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