Minimizing Conditional Value-at-Risk under Constraint on Expected Value
Year of publication: |
2009-02-22
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Authors: | Li, Jing ; Xu, Mingxin |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Conditional Value-at-Risk | Portfolio optimization | Risk minimization | Neyman-Pearson problem |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Classification: | G11 - Portfolio Choice ; G32 - Financing Policy; Capital and Ownership Structure ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: |
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