Minimizing loss probability bounds for portfolio selection
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Publication:439383
DOI10.1016/j.ejor.2011.09.012zbMath1244.91108OpenAlexW2042367866MaRDI QIDQ439383
Publication date: 16 August 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2011.09.012
fractional programmingportfolio optimizationfinanceCVaR (conditional value-at-risk)SVM (support vector machine)
Fractional programming (90C32) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (7)
Generalization bounds for regularized portfolio selection with market side information ⋮ On distributional robust probability functions and their computations ⋮ A smooth non-parametric estimation framework for safety-first portfolio optimization ⋮ International portfolio choice and political instability risk: a multi-objective approach ⋮ Relative utility bounds for empirically optimal portfolios ⋮ Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures ⋮ Interaction between financial risk measures and machine learning methods
Uses Software
Cites Work
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