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Optimal selection of assets and portfolios - MaRDI portal

Optimal selection of assets and portfolios

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Publication:2417144

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DOI10.1007/978-3-319-99719-3_46zbMath1414.62419OpenAlexW2898857871MaRDI QIDQ2417144

R. N. Makarov, Bowen Hu

Publication date: 11 June 2019

Full work available at URL: https://doi.org/10.1007/978-3-319-99719-3_46

zbMATH Keywords

portfolio optimization occupation time risk measures Sharpe ratio expected shortfall value at risk performance metrics asset ranking

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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