Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models

DOI10.1080/14697688.2020.1820072zbMath1466.91285OpenAlexW3095117945MaRDI QIDQ4991070

Rosella Giacometti, Sandra Paterlini, Gabriele Torri

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1820072

zbMATH Keywords

regularizationportfolio optimizationquantilesexpectilestail risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Portfolio theory (91G10)

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