Quantile-based optimal portfolio selection
type: Item
instance of: scholarly article
title: Quantile-based optimal portfolio selection
author: Taras Bodnar
author: M. Lindholm
author: Erik Thorsén
author: Joanna Tyrcha
published in: Computational Management Science
publication date: 2021-11-24T00:00:00Z
Mathematics Subject Classification ID: 90Bxx
zbMATH DE Number: 7432771
zbMATH Keywords: quantile-based return measure
zbMATH Keywords: VaR
zbMATH Keywords: CVaR
zbMATH Keywords: CVoR
zbMATH Keywords: optimal portfolios
zbMATH Keywords: elliptically contoured distributions
MaRDI profile type: Publication
full work available at URL: s10287-021-00395-8
OpenAlex ID: W3046948291
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DOI: 10.1007/S10287-021-00395-8
description: scientific article; zbMATH DE number 7432771