Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints

This paper focuses on an innovative asset allocation strategy for risk averse investors who operate on very long-time horizons, such as endowments and the Italian foundations of banking origin (FBOs). FBOs play a pivotal role in supporting economic, financial and sustainable growth in the long term....

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Detalles Bibliográficos
Autores principales: Arcuri, Maria Cristina, Gandolfi, Gino, Laurini, Fabrizio
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2022
Materias:
Original Paper
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9614752/
https://www.ncbi.nlm.nih.gov/pubmed/36320641
http://dx.doi.org/10.1007/s10100-022-00821-5

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9614752/
https://www.ncbi.nlm.nih.gov/pubmed/36320641
http://dx.doi.org/10.1007/s10100-022-00821-5

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