Portfolio optimization based on modified expected shortfall
Sign Up to like & getrecommendations! Published in 2019 at "Studies in Economics and Finance"
DOI: 10.1108/sef-05-2018-0160
Abstract: Purpose An investor is expected to analyze the market risk while investing in equity stocks. This is because the investor has to choose a portfolio which maximizes the return with a minimum risk. The mean-variance… read more here.
Keywords: expected shortfall; portfolio optimization; modified expected; portfolio ... See more keywords