A large CVaR-based portfolio selection model with weight constraints
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DOI: 10.1016/j.econmod.2016.08.014
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- Li, Xuepeng & Xu, Fengmin & Jing, Kui, 2022. "Robust enhanced indexation with ESG: An empirical study in the Chinese Stock Market," Economic Modelling, Elsevier, vol. 107(C).
- Esra Ulasan & A. Özlem Önder, 2023. "Large portfolio optimisation approaches," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 485-497, October.
- Zhu, Pengfei & Tang, Yong & Wei, Yu & Dai, Yimin, 2019. "Portfolio strategy of International crude oil markets: A study based on multiwavelet denoising-integration MF-DCCA method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
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- M. Akhtaruzzaman & A.K. Banerjee & S. Boubaker & F. Moussa, 2023. "Does Green Improve Portfolio Optimisation?," Post-Print hal-04435509, HAL.
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- Xi Zhang & Xu Wu & Linlin Zhang & Zhonglu Chen, 2022. "The Evaluation of Mean-Detrended Cross-Correlation Analysis Portfolio Strategy for Multiple risk Assets," Evaluation Review, , vol. 46(2), pages 138-164, April.
- Yin-Yin Huang & I-Fei Chen & Chien-Liang Chiu & Ruey-Chyn Tsaur, 2021. "Adjustable Security Proportions in the Fuzzy Portfolio Selection under Guaranteed Return Rates," Mathematics, MDPI, vol. 9(23), pages 1-18, November.
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Keywords
Finance; CVaR-based portfolio; Risk assessment; Weight constraints; Quantile regression;All these keywords.
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