نتایج جستجو برای: keywords portfolio optimization
تعداد نتایج: 2255330 فیلتر نتایج به سال:
2009
A.E.B. Lim
J. G. Shanthikumar
G.-Y. Vahn
We evaluate conditional value-at-risk (CVaR) as a risk measure in data-driven portfolio optimization. We show that portfolios obtained by solving mean-CVaR and global minimum CVaR problems are unreliable due to estimation errors of CVaR and/or the mean, which are aggravated by optimization. This problem is exacerbated when the tail of the return distribution is made heavier. We conclude that CV...
Journal:
:Information Technology Journal
2013
Journal:
:Studies in Informatics and Control
2013
Journal:
:The Journal of Financial Data Science
2020
Journal:
:Journal of Economic Dynamics and Control
2008
Journal:
:The Journal of Financial Data Science
2020
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