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ArticleRobust portfolio asset allocation and risk measures

Maria Grazia Scutellà2013

Article2013

Robust portfolio asset allocation and risk measures

Maria Grazia Scutellà · Raffaella Recchia

48 citations·0/0 files stored·Annals of Operations Research

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Advanced Optimization Algorithms Research

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 48 citations exist upstream.

References

1952PORTFOLIO SELECTION*1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 2002Conditional value-at-risk for general loss distributions 1987The Dual Theory of Choice under Risk 2005Quantitative Risk Management: Concepts, Techniques, and Tools 1992Global Portfolio Optimization 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps

Cited by

2019Robust consensus models based on minimum cost with an application to marketing plan

Details

Year2013

Typearticle

Published2013-01-08

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations48

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1007/s10479-012-1266-3

openalex_workW2069368191

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