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A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution.
Shangmei Zhao
Qing Lu
Liyan Han
Yong Liu
Fei Hu
Published in:
Ann. Oper. Res. (2015)
Keyphrases
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portfolio optimization
portfolio selection
portfolio management
risk measures
robust optimization
probability distribution
factor analysis
problems involving
bi objective
stock market
risk management
objective function
financial markets
case based reasoning
multiple objectives