Strong Consistency of CVaR Optimal Estimator
نویسندگان
چکیده
منابع مشابه
Optimal Dynamic Portfolio with Mean-CVaR Criterion
Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman–Pearson type binary solution. We add a constraint on expected return to investigate the mean-CVaR portfolio selection problem in a dynamic setting: the investor is faced with a Markowitz ...
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ژورنال
عنوان ژورنال: Open Journal of Statistics
سال: 2018
ISSN: 2161-718X,2161-7198
DOI: 10.4236/ojs.2018.83027