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A comparison of MAD and CVaR models with real features · Study

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ArticleA comparison of MAD and CVaR models with real features

Enrico Angelelli2007

Article2007

A comparison of MAD and CVaR models with real features

Enrico Angelelli · Renata Mansini · Maria Grazia Speranza

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

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Optimization and Mathematical Programming

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References

1952PORTFOLIO SELECTION*1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 1959Portfolio Selection: Efficient Diversification of Investments 1994Modelling of extremal events in insurance and finance 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 2000Heuristics for cardinality constrained portfolio optimisation 2002Dual Stochastic Dominance and Related Mean-Risk Models

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2008Metaheuristics for the Portfolio Selection Problem 2023Fifty years of portfolio optimization 2021Robust optimization approaches for portfolio selection: a comparative analysis

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Year2007

Typearticle

Published2007-10-06

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations72

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.jbankfin.2006.07.015

openalex_workW2090170587

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