Guastaroba, Gianfranco; Mansini, Renata; Speranza, M. Grazia - In: European Journal of Operational Research 192 (2009) 2, pp. 500-511
In single-period portfolio selection problems the expected value of both the risk measure and the portfolio return have to be estimated. Historical data realizations, used as equally probable scenarios, are frequently used to this aim. Several other parametric and non-parametric methods can be...