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A Theory of the Risk for Empirical CVaR with Application to Portfolio Selection.
Giorgio Arici
Marco C. Campi
Algo Carè
Marco Dalai
Federico A. Ramponi
Published in:
J. Syst. Sci. Complex. (2021)
Keyphrases
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portfolio selection
portfolio optimization
risk measures
portfolio management
multistage stochastic
robust optimization
optimal portfolio
artificial intelligence
transaction costs
decision making
neural network
simulated annealing
non stationary
theoretical framework
risk averse