Direct data-driven portfolio optimization with guaranteed shortfall probability
type: Item
instance of: scholarly article
title: Direct data-driven portfolio optimization with guaranteed shortfall probability
zbMATH Open document ID: 1259.93130
published in: Automatica
publication date: 2013-03-06T00:00:00Z
full work available at URL: http://porto.polito.it/2503507/
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C15
zbMATH DE Number: 6142030
zbMATH Keywords: scenario design
zbMATH Keywords: portfolio optimization
zbMATH Keywords: asset allocation
zbMATH Keywords: data-driven methods
zbMATH Keywords: random convex programs
zbMATH Keywords: value-at-risk
author: Giuseppe Calafiore
MaRDI profile type: Publication
OpenAlex ID: W2055688117
DOI: 10.1016/J.AUTOMATICA.2012.11.012
description: scientific article; zbMATH DE number 6142030