Mean-CVaR portfolio selection: A nonparametric estimation framework

Computers and Operations Research

Volumn 40, Issue 4, 2013, Pages 1014-1022

  Yao, Haixiang ^a   Li, Zhongfei ^b,c   Lai, Yongzeng ^d  

^a GUANGDONG UNIVERSITY OF FOREIGN STUDIES   (China)

^b SUN YAT SEN UNIVERSITY   (China)

^c SUN YAT SEN UNIVERSITY   (China)

^d WILFRID LAURIER UNIVERSITY   (Canada)

Author keywords

Conditional Value at Risk; Convex optimization; Monte Carlo simulation; Nonparametric estimation; Portfolio selection

Indexed keywords

BANDWIDTH SELECTIONS; CALCULATION FORMULA; CONDITIONAL VALUE-AT-RISK; CONVEX OPTIMIZATION PROBLEMS; LOSS FUNCTIONS; MONTE CARLO SIMULATION; NON-PARAMETRIC; NON-PARAMETRIC ESTIMATIONS; NONPARAMETRIC METHODS; NUMERICAL EXAMPLE; PORTFOLIO SELECTION; PORTFOLIO SELECTION MODELS; PORTFOLIO SELECTION PROBLEMS;

CONVEX OPTIMIZATION; VALUE ENGINEERING;

MONTE CARLO METHODS;

EID: 84872406685     PISSN: 03050548     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cor.2012.11.007     Document Type: Article

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