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Mean-CVaR portfolio selection: A nonparametric estimation framework.

Haixiang YaoZhongfei LiYongzeng Lai
Published in: Comput. Oper. Res. (2013)
Keyphrases
  • portfolio selection
  • nonparametric estimation
  • decision support system
  • theoretical framework
  • financial markets
  • robust optimization
  • bayesian framework
  • risk measures
  • long term
  • linear programming
  • model selection