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.
Robust Optimization of Conditional Value at Risk and Portfolio Selection
QUARANTA, ANNA GRAZIA;
2006-01-01
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:
| File | Dimensione | Formato | |
|---|---|---|---|
|
Quad_quaranta_zaffaroni.pdf
solo utenti autorizzati
Tipologia:
Documento in post-print (versione successiva alla peer review e accettata per la pubblicazione)
Licenza:
DRM non definito
Dimensione
242.23 kB
Formato
Adobe PDF
|
242.23 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
