Formulation of the Non-Parametric Value at Risk Portfolio Selection Problem Considering Symmetry.
Dazhi WangYanhua ChenHongfeng WangMin HuangPublished in: Symmetry (2020)
Keyphrases
- risk management
- high risk
- portfolio selection
- risk assessment
- risk factors
- symmetry detection
- risk measures
- kernel density estimation
- probabilistic formulation
- portfolio optimization
- database
- quadratic programming
- probability density function
- semi parametric
- risk averse
- ordering constraints
- decision support system
- data mining