Mean-VaR portfolio optimization: a nonparametric approach
(2017)
Journal Article
Lwin, K. T., Qu, R., & MacCarthy, B. L. (2017). Mean-VaR portfolio optimization: a nonparametric approach. European Journal of Operational Research, 260(2), https://doi.org/10.1016/j.ejor.2017.01.005
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 vari... Read More about Mean-VaR portfolio optimization: a nonparametric approach.