"Nested Conditional Value-at-Risk portfolio selection: A model with ..."

Alessandro Staino, Emilio Russo (2020)

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DOI: 10.1016/J.EJOR.2019.07.032

access: closed

type: Journal Article

metadata version: 2020-02-21

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Alessandro Staino, Emilio Russo:
Nested Conditional Value-at-Risk portfolio selection: A model with temporal dependence driven by market-index volatility. Eur. J. Oper. Res. 280(2): 741-753 (2020)

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