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Index tracking and enhanced indexing using mixed conditional value-at-risk · Study

WorkIndex tracking and enhanced indexing using mixed conditional value-at-risk

Anubha Goel2017

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Workbronze2017

Index tracking and enhanced indexing using mixed conditional value-at-risk

Anubha Goel · Amita Sharma · Aparna Mehra

36 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1952PORTFOLIO SELECTION*1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 2002Conditional value-at-risk for general loss distributions 1994The Sharpe Ratio 2002On the coherence of expected shortfall 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 1994Performance Measurement in a Downside Risk Framework

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Year2017

Typeother

Published2017-12-24

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations36

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.cam.2017.12.015

openalex_workW2777839655

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