most citedPortfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models

2 citations · 2 across the 1 of their papers we have counts for

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Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models

Nuerxiati Abudurexiti, Kai He, Dongdong Hu +3

The paper Zhao et al. (2015) shows that mean-CVaR-skewness portfolio optimization problems based on asymetric Laplace (AL) distributions can be transformed into quadratic optimizat…