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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]

Authors

Xueting Cui

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Xiaoling Sun 0001

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Shushang Zhu

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Rujun Jiang

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Duan Li 0002

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