Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models (Q4991070)
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scientific article; zbMATH DE number 7353675
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models |
scientific article; zbMATH DE number 7353675 |
Statements
Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models (English)
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2 June 2021
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tail risk
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expectiles
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quantiles
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regularization
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portfolio optimization
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