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2018•SSRN Electronic JournalOpen access

Mean-Variance, Mean-VaR, 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, Selection (genetic algorithm), Variance (accounting), Statistics, Economics, Expected shortfall

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