Suboptimality in portfolio conditional value-at-risk optimization
Year of publication: |
April 2016
|
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Authors: | Jakobsons, Edgars |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 18.2015/2016, 4, p. 1-23
|
Subject: | portfolio optimization | conditional value-at-risk (CVaR) | discretization error | suboptimality | linear programming (LP) | heavy tails | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
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