An empirical comparison of different risk measures in portfolio optimization
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DOI: 10.22004/ag.econ.95934
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References listed on IDEAS
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Citations
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Cited by:
- Marah-Lisanne Thormann & Phan Tu Vuong & Alain B. Zemkoho, 2024. "The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimization," Papers 2402.09194, arXiv.org.
- Pokharel, Krisha Prasad & Featherstone, Allen M. & Archer, David W., 2019.
"Estimating Economic Efficiency Under Risk For Agricultural Cooperatives,"
International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 7(2), April.
- Pokharel, Krishna P. & Featherstone, Allen M. & Archer, David W., 2018. "Estimating Economic Efficiency under Risk for Agricultural Cooperatives," 2018 Annual Meeting, February 2-6, 2018, Jacksonville, Florida 266729, Southern Agricultural Economics Association.
- Carsten Lausberg & Felix Brandt, 2024. "Forecasting risk and return of listed real estate: [Die Prognose von Risiko und Rendite von Immobilienaktien:]," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 10(1), pages 1-38, December.
- Todor Stoilov & Krasimira Stoilova & Miroslav Vladimirov, 2021. "Explicit Value at Risk Goal Function in Bi-Level Portfolio Problem for Financial Sustainability," Sustainability, MDPI, vol. 13(4), pages 1-14, February.
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