A linearization of the portfolio optimization problem with general risk measures under multivariate conditional heteroskedastic models

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Veröffentlicht in:Asia-Pacific journal of financial studies
1. Verfasser: Huang, Shih‐Feng (VerfasserIn)
Weitere Verfasser: Lin, Tze‐Yun (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: 2018
Schlagworte:
Conditional heteroskedastic model > Expected shortfall > Linear programming > Portfolio selection > Spectral risk measure > Transaction cost > Aufsatz in Zeitschrift
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