Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures

Author： Gotoh Jun-Ya   Shinozaki Keita   Takeda Akiko  

Publisher： Routledge Ltd

ISSN： 1469-7688

Source： Quantitative Finance, Vol.13, Iss.10, 2013-10, pp. : 1621-1635

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Reliability-based portfolio optimization with conditional value at risk (CVaR)

By Sengupta Raghu Nandan   Sahoo Siddharth  

Quantitative Finance, Vol. 13, Iss. 10, 2013-10 ,pp. : 1637-1651

Routledge Ltd

Access to resources Recommend Favorite

Jump liquidity risk and its impact on CVaR

By Zheng Harry   Shen Yukun  

The Journal of Risk Finance Incorporating Balance Sheet, Vol. 9, Iss. 5, 2008-11 ,pp. : 477-492

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

Robust portfolio selection under downside risk measures

By Zhu Shushang   Li Duan   Wang Shouyang  

Quantitative Finance, Vol. 9, Iss. 7, 2009-10 ,pp. : 869-885

Routledge Ltd

Access to resources Recommend Favorite

Stress testing for VaR and CVaR

By Dupacová Jitka   PolÍvka Jan  

Quantitative Finance, Vol. 7, Iss. 4, 2007-08 ,pp. : 411-421

Routledge Ltd

Access to resources Recommend Favorite

Higher moment coherent risk measures

By Krokhmal PAVLO A.  

Quantitative Finance, Vol. 7, Iss. 4, 2007-08 ,pp. : 373-387

Routledge Ltd

Access to resources Recommend Favorite