High-Frequency Portfolio Optimization with Long-Term CVaR Constriants

SUN Huixia,NI Xuanming, QIAN Long,ZHAO Huimin

Journal of Systems Science and Mathematical Sciences ›› 2021, Vol. 41 ›› Issue (2) : 344-360.

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Journal of Systems Science and Mathematical Sciences ›› 2021, Vol. 41 ›› Issue (2) : 344-360. DOI: 10.12341/jssms14136

High-Frequency Portfolio Optimization with Long-Term CVaR Constriants

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2021, 41(2): 344-360 https://doi.org/10.12341/jssms14136

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