Stochastic Portfolio Optimization
The article presents a new method for creating robust portfolios using the Chance Constrained Data Envelopment Analysis model, which minimizes systematic risk and maximizes returns during market downturns, especially for risk-averse investors.
Featured in No. 48 on 8 May 2024 ·
- Released
- 3 May 2023
- First featured
- No. 48 · 8 May 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 6
- Identifier
- RePEc:taf:reroxx:v:36:y:2023:i:3:p:2165525
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).