A large CVaR-based portfolio selection model with weight constraints
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- 作者：Qifa Xua ; b ; xuqifa1975@gmail.com" class="auth_mail" title="E-mail the corresponding author ; Yingying Zhoua ; ida9102@sina.com" class="auth_mail" title="E-mail the corresponding author ; Cuixia Jianga ; jiangcuixia@hfut.edu.cn" class="auth_mail" title="E-mail the corresponding author ; Keming Yuc ; Keming.Yu@brunel.ac.uk" class="auth_mail" title="E-mail the corresponding author ; Xufeng Niud ; niu@stat.fsu.edu" class="auth_mail" title="E-mail the corresponding author
- 关键词：Finance ; CVaR-based portfolio ; Risk assessment ; Weight constraints ; Quantile regression
- 刊名：Economic Modelling
- 出版年：2016
- 出版时间：December 2016
- 年：2016
- 卷：59
- 期：Complete
- 页码：436-447
- 全文大小：2733 K
文摘
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A large CVaR-based portfolio selection model with weight constraints is proposed.
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It includes the standard CVaR-based portfolio selection model as a special case.
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We solve the new model using penalized quantile regression techniques.
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The real data application illustrates the efficacy of our proposed model.