The Optimal Investment Portfolio Model Based on CVaR

著录项

• 来源
  《2012 IEEE 5th International conference on management engineering amp; technology of statistics》|2012年|55-60|共6页
• 会议地点 Qingdao(CN)
• 作者

  Baiyi Zhang; Shushan Li; Qingsong Li;

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• 作者单位

  College of information science and Engineering Shandong University of Science and Technology Qingdao,China;

  College of information science and Engineering Shandong University of Science and Technology Qingdao,China;

  College of information science and Engineering Shandong University of Science and Technology Qingdao,China;

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• 会议组织
• 原文格式 PDF
• 正文语种 eng
• 中图分类 统计学;
• 关键词

  CVaR; investment portfolio; optimization;

  机译：CVaR；投资组合;优化;