Estimating allocations for value-at-risk portfolio optimization

DOI10.1007/s00186-008-0244-7zbMath1169.90418OpenAlexW1986072275MaRDI QIDQ1028529

Abder Oulidi, Arthur Charpentier

Publication date: 6 July 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-008-0244-7

zbMATH Keywords

optimizationportfolionon-parametricsvalue-at-Risk

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

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