Portfolio optimization with a copula-based extension of conditional value-at-risk

Annals of Operations Research

Volumn 237, Issue 1-2, 2016, Pages 219-236

  Krzemienowski, Adam ^a   Szymczyk, Sylwia ^a  

^a WARSAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

Column generation algorithm; Multivariate risk measures; Portfolio optimization; Quantile risk measures

Indexed keywords

EID: 84958649799     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-014-1625-3     Document Type: Article

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