A cost-effective approach to portfolio construction with range-based risk measures
Year of publication: |
2021
|
---|---|
Authors: | Pun, Chi Seng ; Wang, Lei |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 3, p. 431-447
|
Subject: | ℓ 2 -regularized portfolios | Portfolio optimization | Risk measures | Robustness | Statistical learning theory | Support vector regression | Transaction costs | Theorie | Theory | Portfolio-Management | Portfolio selection | Transaktionskosten | Risikomaß | Risk measure | Messung | Measurement | Risiko | Risk | Robustes Verfahren | Robust statistics |
-
A note on the statistical robustness of risk measures
Zhelonkin, Mikhail, (2017)
-
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui, (2023)
-
Robustness in the optimization of risk measures
Embrechts, Paul, (2022)
- More ...
-
Financial Thought Experiment : A GAN-based Approach to Vast Robust Portfolio Selection
Pun, Chi Seng, (2020)
-
A Cost-effective Approach to Portfolio Construction with Range-based Risk Measures
Pun, Chi Seng, (2020)
-
Variance swap with mean reversion, multifactor stochastic volatility and jumps
Pun, Chi Seng, (2015)
- More ...