Alternative portfolio methods

作者: Ruanmin Cao

DOI:

关键词: Modern portfolio theoryTail riskEconomicsMathematical optimizationPortfolio optimizationPost-modern portfolio theorySpectral risk measurePortfolioReplicating portfolioActuarial scienceDiversification (finance)

摘要: Portfolio optimization in an uncertain environment has great practical value in investment decision process. But this area is highly fragmented due to fast evolution of market structure …

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