Quantile-based optimal portfolio selection
Year of publication: |
2021
|
---|---|
Authors: | Bodnar, Taras ; Lindholm, Mathias ; Thorsén, Erik ; Tyrcha, Joanna |
Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 18.2021, 3, p. 299-324
|
Subject: | Quantile-based return measure | VaR | CVaR | CVoR | Optimal portfolios | Elliptically contoured distributions | Theorie | Theory | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Kapitaleinkommen | Capital income |
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