Articles by Edgars Jakobsons
Suboptimality in portfolio conditional value-at-risk optimization
This paper considers the portfolio optimization problem, with conditional value-at-risk as the objective.
This paper considers the portfolio optimization problem, with conditional value-at-risk as the objective.
You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.
Sign inTo use this feature you will need an individual account. If you have one already please sign in.
Sign in.Alternatively you can request an individual account here: