Portfolio performance evaluation in Mean-CVaR framework: A comparison with non-parametric methods value at risk in Mean-VaR analysis-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Portfolio performance evaluation in Mean-CVaR framework: A comparison with non-parametric methods value at risk in Mean-VaR analysis

Published:2017 Issue: Volume:4 Page:21-28
ISSN:2214-7160
Container-title:Operations Research Perspectives
language:en
Short-container-title:Operations Research Perspectives

Author:

Banihashemi Shokoofeh,Navidi Sarah

Publisher

Elsevier BV

Subject

Management Science and Operations Research,Control and Optimization,Strategy and Management,Statistics and Probability

Reference25 articles.

1. Thinking coherently;Artzner;Risk,1997

2. Coherent measures of risk;Artzner;Math Finance,1999

3. Portfolio performance evaluation in a modified mean-variance-skewness framework with negative data;Banihashemi;Int J Data Envelopment Anal,2014

4. Portfolio optimization by mean-value at risk framework;Banihashemi;Appl Math Inf Sci,2016

5. Some models for estimating technical and scale inefficiencies in Data Envelopment Analysis;Banker;J Manage Sci,1984

Cited by 22 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

1. RETRACTED: A comparative study of fuzzy multi-objective investment project portfolio selection and optimization based on financial return and different risk measurements;Journal of Intelligent & Fuzzy Systems;2024-04-18

2. Optimising Portfolio Risk by Involving Crypto Assets in a Volatile Macroeconomic Environment;Risks;2024-04-17

3. Uncertain mean-CVaR model for portfolio selection with transaction cost and investors’ preferences;The North American Journal of Economics and Finance;2024-01

4. The Effect of Exit Time and Entropy on Asset Performance Evaluation;Entropy;2023-08-23

5. Avoiding momentum crashes using stochastic mean-CVaR optimization with time-varying risk aversion;The Engineering Economist;2023-07-03

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3