Mean-VaR portfolio optimization: a nonparametric approach
Portfolio optimization involves the optimal assignment of limited capital to different available financial assets to achieve a reasonable trade-off between profit and risk. We consider an alternative Markowitz's mean-variance model, in which the variance is replaced with an industry standard ri...
| Main Authors: | , , |
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| Format: | Article |
| Published: |
Elsevier
2017
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/39884/ |