A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution

Shangmei Zhao, Qing Lu, Liyan Han, Yong Liu, Fei Hu. A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution. Annals OR, 226(1):727-739, 2015. [doi]

Abstract

Abstract is missing.