
Multi-Objective Optimal Portfolio with Different Tail-Risk Attitudes
ZHAO Xia, SHI Yu, OUYANG Zisheng
Journal of Systems Science and Mathematical Sciences ›› 2022, Vol. 42 ›› Issue (5) : 1129-1144.
Multi-Objective Optimal Portfolio with Different Tail-Risk Attitudes
Mean-variance-CVaR criterion / portfolio / attitude toward tail-risk / Kmeans clustering {{custom_keyword}} /
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