Portfolio value-at-risk optimization for asymmetrically distributed asset returns

10.1016/j.ejor.2012.03.012

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Bibliographic Details
Main Authors:	Goh, J.W., Lim, K.G., Sim, M., Zhang, W.
Other Authors:	DECISION SCIENCES
Format:	Article
Published:	2013
Subjects:	Asymmetric distributions Partitioned value-at-risk Portfolio optimization Risk management Robust risk measures
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/44188
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Institution:	National University of Singapore

id	sg-nus-scholar.10635-44188
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spelling	sg-nus-scholar.10635-441882023-10-29T23:33:44Z Portfolio value-at-risk optimization for asymmetrically distributed asset returns Goh, J.W. Lim, K.G. Sim, M. Zhang, W. DECISION SCIENCES FINANCE Asymmetric distributions Partitioned value-at-risk Portfolio optimization Risk management Robust risk measures 10.1016/j.ejor.2012.03.012 European Journal of Operational Research 221 2 397-406 EJORD 2013-10-09T06:18:10Z 2013-10-09T06:18:10Z 2012 Article Goh, J.W., Lim, K.G., Sim, M., Zhang, W. (2012). Portfolio value-at-risk optimization for asymmetrically distributed asset returns. European Journal of Operational Research 221 (2) : 397-406. ScholarBank@NUS Repository. https://doi.org/10.1016/j.ejor.2012.03.012 03772217 http://scholarbank.nus.edu.sg/handle/10635/44188 000304849700013 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Asymmetric distributions Partitioned value-at-risk Portfolio optimization Risk management Robust risk measures
spellingShingle	Asymmetric distributions Partitioned value-at-risk Portfolio optimization Risk management Robust risk measures Goh, J.W. Lim, K.G. Sim, M. Zhang, W. Portfolio value-at-risk optimization for asymmetrically distributed asset returns
description	10.1016/j.ejor.2012.03.012
author2	DECISION SCIENCES
author_facet	DECISION SCIENCES Goh, J.W. Lim, K.G. Sim, M. Zhang, W.
format	Article
author	Goh, J.W. Lim, K.G. Sim, M. Zhang, W.
author_sort	Goh, J.W.
title	Portfolio value-at-risk optimization for asymmetrically distributed asset returns
title_short	Portfolio value-at-risk optimization for asymmetrically distributed asset returns
title_full	Portfolio value-at-risk optimization for asymmetrically distributed asset returns
title_fullStr	Portfolio value-at-risk optimization for asymmetrically distributed asset returns
title_full_unstemmed	Portfolio value-at-risk optimization for asymmetrically distributed asset returns
title_sort	portfolio value-at-risk optimization for asymmetrically distributed asset returns
publishDate	2013
url	http://scholarbank.nus.edu.sg/handle/10635/44188
_version_	1781411275707777024

Portfolio value-at-risk optimization for asymmetrically distributed asset returns

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