Work

Nonlinear portfolio selection using approximate parametric Value-at-Risk

Year: 2013

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2013.01.036

Authors: Xueting Cui, Shushang Zhu, Xiaoling Sun, Duan Li

Institutions: Fudan University, Sun Yat-sen University, Chinese University of Hong Kong

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2023593202

FWCI: 5.457

Cites: 34

Cited by: 39

Related to: 10