Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility (Q2273929)
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| Language | Label | Description | Also known as |
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| English | Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility |
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Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility (English)
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18 September 2019
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stochastic programming
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portfolio selection
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time-consistency
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cubic spline interpolation
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conditional value-at-risk
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