Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests (Q3143705)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests |
scientific article |
Statements
Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests (English)
0 references
3 December 2012
0 references
asset allocation
0 references
efficient frontier
0 references
minimum var portfolio
0 references
minimum CVaR portfolio
0 references
parameter uncertainty
0 references
0 references
0 references
