Matches in SemOpenAlex for { <https://semopenalex.org/work/W3197642711> ?p ?o ?g. }
Showing items 1 to 72 of
72
with 100 items per page.
- W3197642711 endingPage "102421" @default.
- W3197642711 startingPage "102421" @default.
- W3197642711 abstract "In this paper, I construct an optimal portfolio by minimizing the expected tail loss derived from the forward-looking natural distribution of the Recovery Theorem. This natural distribution can be used as the criterion function in an expected tail loss portfolio optimization problem. I find that the portfolio constructed using the Recovery Theorem outperforms both an equally-weighted portfolio and a portfolio constructed using historical expected tail loss. The portfolio constructed using the Recovery Theorem has the smallest historical tail loss, smallest maximum drawdown, highest Sortino Ratio, and highest Sharpe Ratio." @default.
- W3197642711 created "2021-09-13" @default.
- W3197642711 creator A5047870977 @default.
- W3197642711 date "2022-05-01" @default.
- W3197642711 modified "2023-10-18" @default.
- W3197642711 title "Optimized portfolio using a forward-looking expected tail loss" @default.
- W3197642711 cites W1647779468 @default.
- W3197642711 cites W1737593579 @default.
- W3197642711 cites W1980314087 @default.
- W3197642711 cites W1982899954 @default.
- W3197642711 cites W2070862805 @default.
- W3197642711 cites W2121183216 @default.
- W3197642711 cites W2153580489 @default.
- W3197642711 cites W2179356764 @default.
- W3197642711 cites W2312984646 @default.
- W3197642711 cites W2564772844 @default.
- W3197642711 cites W2900724032 @default.
- W3197642711 cites W3121187998 @default.
- W3197642711 cites W3124407081 @default.
- W3197642711 cites W3124960685 @default.
- W3197642711 doi "https://doi.org/10.1016/j.frl.2021.102421" @default.
- W3197642711 hasPublicationYear "2022" @default.
- W3197642711 type Work @default.
- W3197642711 sameAs 3197642711 @default.
- W3197642711 citedByCount "3" @default.
- W3197642711 countsByYear W31976427112023 @default.
- W3197642711 crossrefType "journal-article" @default.
- W3197642711 hasAuthorship W3197642711A5047870977 @default.
- W3197642711 hasConcept C104946779 @default.
- W3197642711 hasConcept C106159729 @default.
- W3197642711 hasConcept C109271563 @default.
- W3197642711 hasConcept C126255220 @default.
- W3197642711 hasConcept C139938925 @default.
- W3197642711 hasConcept C149782125 @default.
- W3197642711 hasConcept C162324750 @default.
- W3197642711 hasConcept C202655437 @default.
- W3197642711 hasConcept C21099588 @default.
- W3197642711 hasConcept C2780821815 @default.
- W3197642711 hasConcept C33923547 @default.
- W3197642711 hasConcept C67051015 @default.
- W3197642711 hasConceptScore W3197642711C104946779 @default.
- W3197642711 hasConceptScore W3197642711C106159729 @default.
- W3197642711 hasConceptScore W3197642711C109271563 @default.
- W3197642711 hasConceptScore W3197642711C126255220 @default.
- W3197642711 hasConceptScore W3197642711C139938925 @default.
- W3197642711 hasConceptScore W3197642711C149782125 @default.
- W3197642711 hasConceptScore W3197642711C162324750 @default.
- W3197642711 hasConceptScore W3197642711C202655437 @default.
- W3197642711 hasConceptScore W3197642711C21099588 @default.
- W3197642711 hasConceptScore W3197642711C2780821815 @default.
- W3197642711 hasConceptScore W3197642711C33923547 @default.
- W3197642711 hasConceptScore W3197642711C67051015 @default.
- W3197642711 hasLocation W31976427111 @default.
- W3197642711 hasOpenAccess W3197642711 @default.
- W3197642711 hasPrimaryLocation W31976427111 @default.
- W3197642711 hasRelatedWork W2367990330 @default.
- W3197642711 hasRelatedWork W2384706875 @default.
- W3197642711 hasRelatedWork W2394937812 @default.
- W3197642711 hasRelatedWork W2758445869 @default.
- W3197642711 hasRelatedWork W2898685884 @default.
- W3197642711 hasRelatedWork W3123094310 @default.
- W3197642711 hasRelatedWork W3169974179 @default.
- W3197642711 hasRelatedWork W3212685299 @default.
- W3197642711 hasRelatedWork W4360613713 @default.
- W3197642711 hasRelatedWork W4361855747 @default.
- W3197642711 hasVolume "46" @default.
- W3197642711 isParatext "false" @default.
- W3197642711 isRetracted "false" @default.
- W3197642711 magId "3197642711" @default.
- W3197642711 workType "article" @default.