The possibility to characterize profitables portfolios in a context of risk efficiently calculated is the heart of this contribute that consists in an attempt of Robust Optimization of the CVaR of a portfolio of shares.
A.G. Quaranta, A. Zaffaroni (2006). Robust Optimization of Conditional Value at Risk and Portfolio Selection. LECCE - UNIV. DEL SALENTO : Dipartimento di Scienze Economiche e Matematico St.
Robust Optimization of Conditional Value at Risk and Portfolio Selection
QUARANTA, ANNA GRAZIA;
2006
Abstract
The possibility to characterize profitables portfolios in a context of risk efficiently calculated is the heart of this contribute that consists in an attempt of Robust Optimization of the CVaR of a portfolio of shares.File in questo prodotto:
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