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Portfolio optimization with entropic value-at-risk · Study

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ArticlePortfolio optimization with entropic value-at-risk

Amir Ahmadi Javid2019

OA

Articlegreen2019

Portfolio optimization with entropic value-at-risk

Amir Ahmadi Javid · Malihe Fallah-Tafti

94 citations·0/0 files stored·European Journal of Operational Research

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Probability and Risk Models

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References

1952PORTFOLIO SELECTION*1999Coherent Measures of Risk 2002Conditional value-at-risk for general loss distributions 1963A Simplified Model for Portfolio Analysis 2009Lectures on Stochastic Programming 2002Coherent Risk Measures on General Probability Spaces 201360 Years of portfolio optimization: Practical challenges and current trends 2006Optimization of Convex Risk Functions

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2021Copula-based Black–Litterman portfolio optimization

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Year2019

Typearticle

Published2019-02-10

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations94

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.ejor.2019.02.007

openalex_workW2750201565

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