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

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

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