Tail risks in large portfolio selection : penalized quantile and expectile minimum deviation models
Year of publication: |
2021
|
---|---|
Authors: | Giacometti, Rosella ; Torri, Gabriele ; Paterlini, Sandra |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 2, p. 243-261
|
Subject: | Expectiles | Portfolio optimization | Quantiles | Regularization | Tail risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Theorie | Theory | Schätzung | Estimation | Risiko | Risk |
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