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2018•Risk ManagementRequires access

Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk

Xu Guo, Raymond H. Chan, Wing‐Keung Wong, Lixing Zhu

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Key concepts: CVAR, Portfolio, Econometrics, Economics, Variance (accounting), Modern portfolio theory, Asset (computer security), Asset allocation

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Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk — Research Paper | ScholarLens