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Nonlinear portfolio selection using approximate parametric Value-at-Risk · Study

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ArticleNonlinear portfolio selection using approximate parametric Value-at-Risk

Xueting Cui2013

Article2013

Nonlinear portfolio selection using approximate parametric Value-at-Risk

Xueting Cui · Shushang Zhu · Xiaoling L. Sun · Duan Li

39 citations·0/0 files stored·Journal of Banking & Finance

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1952PORTFOLIO SELECTION*1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 2016“Options, Futures, and Other Derivatives”2002Conditional value-at-risk for general loss distributions 2000Value At Risk: The New Benchmark for Managing Financial Risk n.d.Multivariate GARCH models: a survey 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

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Year2013

Typearticle

Published2013-02-06

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations39

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.jbankfin.2013.01.036

openalex_workW2023593202

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