A gradual nonconvexification method for minimizing value-at-risk
Year of publication: |
2014
|
---|---|
Authors: | Xi, Jiong ; Coleman, Thomas F. ; Li, Yuying ; Tayal, Aditya |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 16.2013/2014, 3, p. 23-47
|
Subject: | Portfolio | Value-at-risk (VAR) | Risk management | Original research | Risikomanagement | Theorie | Theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection |
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