Enhancing CVaR portfolio optimisation performance with GAM factor models

Fuente: arXiv

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Bibliographic Details
Main Authors:	Lauria, Davide, Lindquist, W. Brent, Rachev, Svetlozar T.
Format:	Preprint
Published:	2023
Subjects:	Portfolio Management
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2401.00188