Bayesian portfolio selection using VaR and CVaR

Taras Bodnar, Mathias Lindholm, Vilhelm Niklasson, Erik Thorsén. Bayesian portfolio selection using VaR and CVaR. Applied Mathematics and Computation, 427:127120, 2022. [doi]

Authors

Taras Bodnar

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Mathias Lindholm

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Vilhelm Niklasson

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Erik Thorsén

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