CVaR-LASSO Enhanced Index Replication (CLEIR) : outperforming by minimizing downside risk
Brian Gendreau, Yong Jin, Mahendrarajah Nimalendran and Xiaolong Zhong
| Year of publication: |
2019
|
|---|---|
| Authors: | Gendreau, Brian C. ; Jin, Yong ; Nimalendran, Mahendrarajah ; Zhong, Xiaolong |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 51.2019, 52, p. 5637-5651
|
| Subject: | conditional value-at-risk | enhanced indexation | LASSO | Stochastic programming | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Aktienindex | Stock index | Risikomanagement | Risk management |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2019.1616072 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012197263