OpenAlex | Portfolio selection based on a benchmark process with dynamic value-at-risk constraints

Portfolio selection based on a benchmark process with dynamic value-at-risk constraints

Work

Year: 2016

Type: article

Source: Journal of Computational and Applied Mathematics

Authors Qingye Zhang, Yan Gao

Institution University of Shanghai for Science and Technology

Cites: 26

Cited by: 27

Related to: 10

FWCI: 2.74

Citation percentile (by year/subfield): 89.78

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: bronze

Funders Natural Science Foundation of Shanghai, Natural Science Foundation of Shanghai, Natural Science Foundation of Shanghai, National Natural Science Foundation of China, National Natural Science Foundation of China +4 more

Grant IDS 11171221, 14ZR1429200, 15ZZ074, 11171221, 14ZR1429200 +4 more