Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method

Xueting Cui, Xiaoling Sun 0001, Shushang Zhu, Rujun Jiang, Duan Li 0002. Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method. INFORMS Journal on Computing, 30(3):454-471, 2018. [doi]

Abstract

Abstract is missing.