Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework



Portfolio selection is an important issue in finance and it involves the balance between risk and return. This paper investigates portfolio selection under Mean-CVaR model in a nonparametric framework with α-mixing data as financial data tends to be dependent. Many works have provided some insight into the performance of portfolio selection from the aspects of data and simulation while in this paper we concentrate on the asymptotic behaviors of the optimal solutions and risk estimation in theory.


nonparametric estimation portfolio selection convex program asymptotic property 


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Copyright information

© Editorial Committee of Applied Mathematics-A Journal of Chinese Universities and Springer-Verlag Berlin Heidelberg 2017

Authors and Affiliations

  1. 1.Department of MathematicsZhejiang UniversityHangzhouChina

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