Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models-Reference-Cited by-同舟云学术

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Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models

Published:2020-10-27 Issue:2 Volume:21 Page:243-261
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Giacometti R.¹²^ORCID,Torri G.¹²^ORCID,Paterlini S.³^ORCID

Affiliation:

1. Department of Management, Economics and Quantitative Methods, University of Bergamo, Via dei Caniana, 2, 24127 Bergamo, Italy

2. Department of Finance, VŠB-TU Ostrava, Sokolská třída 33, Ostrava 701 21, Czech Republic

3. Department of Economics and Management, University of Trento, via Inama 5, I-38122 Trento, Italy

Funder

Czech Science Foundation

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1820072

Reference39 articles.

1. Coherent Measures of Risk

2. Machine Learning and Portfolio Optimization

3. Pessimistic Portfolio Allocation and Choquet Expected Utility

4. On elicitable risk measures

5. Risk management with expectiles

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