Joel Weiqiang Goh, Kian Guan Lim, Melvyn Sim, Weina Zhang. Portfolio value-at-risk optimization for asymmetrically distributed asset returns. European Journal of Operational Research, 221(2):397-406, 2012. [doi]
@article{GohLSZ12,
title = {Portfolio value-at-risk optimization for asymmetrically distributed asset returns},
author = {Joel Weiqiang Goh and Kian Guan Lim and Melvyn Sim and Weina Zhang},
year = {2012},
doi = {10.1016/j.ejor.2012.03.012},
url = {http://dx.doi.org/10.1016/j.ejor.2012.03.012},
researchr = {https://researchr.org/publication/GohLSZ12},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {221},
number = {2},
pages = {397-406},
}