Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework
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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.
Keywordsnonparametric estimation portfolio selection convex program asymptotic property
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