Nested Conditional Value-at-Risk portfolio selection : a model with temporal dependence driven by market-index volatility
Year of publication: |
2020
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Authors: | Staino, Alessandro ; Russo, Emilio |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 280.2020, 2 (16.1.), p. 741-753
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Subject: | Conditional value-at-risk | Cubic spline interpolation | Portfolio selection | Stochastic programming | Time-consistency | Theorie | Theory | Portfolio-Management | Risikomaß | Risk measure | Volatilität | Volatility | Experiment | Stochastischer Prozess | Stochastic process |
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