نتایج جستجو برای: keywords portfolio optimization

تعداد نتایج: 2255330  

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: :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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