Robust asset allocation with conditional value at risk using the forward search-Reference-Cited by-同舟云学术

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Robust asset allocation with conditional value at risk using the forward search

Published:2019-11-15 Issue:3 Volume:36 Page:335-352
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl Stochastic Models Bus Ind

Author:

Grossi Luigi¹²^ORCID,Laurini Fabrizio³²^ORCID

Affiliation:

1. Department of EconomicsUniversity of Verona Verona Italy

2. Ro.S.A. (Robust Statistics Academy)

3. Department of Economics and ManagementUniversity of Parma Parma Italy

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/asmb.2492

Reference57 articles.

1. The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?

2. Robust estimation of efficient mean–variance frontiers

3. Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis

4. Stochastic optimization for allocation problems with shortfall risk constraints

5. Coherent Measures of Risk

Cited by 1 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. Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints;Central European Journal of Operations Research;2022-10-28

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