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Pablo Cristini Guedes
Universidade Federal do Rio Grande do Sul (UFRGS)
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SCHOLARLY PAPERS
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Scholarly Papers (1)
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1.
A Comparison of Risk Measures for Portfolio Optimization With Cardinality Constraints
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48
(297,819)
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A Comparison of Risk Measures for Portfolio Optimization with Cardinality Constraints
Number of pages: 37
Posted: 25 Aug 2022
Henrique Ramos
,
Marcelo Righi
, Pablo Cristini Guedes and
Fernanda Maria Müller
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
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Abstract:
cardinality constraints, coherent risk measures, Risk, linear portfolio optimization, EVaR
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