A theory of the risk for empirical CVaR with application to portfolio selection

DOI10.1007/s11424-021-1229-3zbMath1480.91261OpenAlexW3208445394MaRDI QIDQ2070025

Giorgio Arici, Algo Carè, Marco C. Campi, Marco Dalai, Federico Alessandro Ramponi

Publication date: 21 January 2022

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-021-1229-3

zbMATH Keywords

riskgeneralizationscenario approachorder selectiondistribution-free resultsempirical CVaR

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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