Scaled and stable mean-variance-EVaR portfolio selection strategy with proportional transaction costs
This paper studies a portfolio optimization problem with variance and Entropic Value-at-Risk (evar) as risk measures. As the variance measures the deviation around the expected return, the introduction of evar in the mean-variance framework helps to control the downside risk of portfolio returns. Th...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius Gediminas Technical University
2017-08-01
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| Series: | Journal of Business Economics and Management |
| Subjects: | |
| Online Access: | https://journals.vgtu.lt/index.php/JBEM/article/view/1232 |