Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method (Q5136074)
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scientific article; zbMATH DE number 7277775
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method |
scientific article; zbMATH DE number 7277775 |
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Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method (English)
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25 November 2020
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portfolio selection
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nonparametric VaR
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kernel
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BCD method
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