Bayesian portfolio selection using VaR and CVaR.

Sat, 01 Jan 2022 00:00:00 +0100

Taras Bodnar , Mathias Lindholm , Vilhelm Niklasson, Erik Thorsén:
Bayesian portfolio selection using VaR and CVaR. Appl. Math. Comput. 427: 127120 (2022)