Modeling and solving portfolio selection problems based on PVaR

Yanli Huo, Chunhui Xu and Takayuki Shiina

Quantitative Finance, 2020, vol. 20, issue 12, 1889-1898

Abstract: Portfolio optimization with an uncertain investment horizon and a Period Value at Risk criterion is difficult

Date: 2020
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DOI: 10.1080/14697688.2020.1819552

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