Scenario aggregation method for portfolio expectile optimization
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Publication:308418
DOI10.1515/strm-2016-0008zbMath1346.90575OpenAlexW3122537131MaRDI QIDQ308418
Publication date: 6 September 2016
Published in: Statistics \& Risk Modeling (Search for Journal in Brave)
Full work available at URL: http://doc.rero.ch/record/325889/files/strm-2016-0008.pdf
Linear programming (90C05) Approximations to statistical distributions (nonasymptotic) (62E17) Portfolio theory (91G10)
Related Items (3)
Scenario aggregation method for portfolio expectile optimization ⋮ Risk parity with expectiles ⋮ Mean-expectile portfolio selection
Uses Software
Cites Work
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