Portfolio Model Based on CVaR Under Friction Market.
Yuelin GaoBo WangXiaohui AnPublished in: ICEE (2010)
Keyphrases
- portfolio selection
- portfolio management
- financial markets
- portfolio optimization
- optimal portfolio
- market data
- risk averse
- asset allocation
- decision making
- stock market
- risk neutral
- stock price
- risk measures
- nonparametric estimation
- robust optimization
- rigid body
- long term
- investment strategies
- risk aversion
- stock exchange
- fully unsupervised
- data driven