arXiv (All)
open access
Efficient and Adaptive Estimation of Portfolio Weights with Spectral Risk Measures
Spectral risk measures, including conditional value-at-risk (CVaR), generate a family of convex criteria for portfolio estimation. We study how the criterion should be chosen when different criteria share the same population minimizer, and whether the efficient criterion can itself be learned from d
Conceptio Open Archive
Analyze & explore related research in Conceptio
Connect this record directly into your research workflow or AI agent. Explore citations across open repositories, query full text, and export structured proof bundles.
This document is indexed with metadata only: full text is not available in the archive for this record. Open the official source ↗
Related documents
- Convex Optimization Is Free When Accuracy Is Expensive#1130006
- Importance Sampling Enhanced with the COS Method for the Portfolio Risk Allocation#818799
- Importance Sampling Enhanced with the COS Method for the Portfolio Risk Allocation#808807
- Admissible Portfolio Optimization: Information Constraints, Conditional Efficient Frontiers, and the Price of Causal Identification#1154770
- Path-Space Robust Bayesian Portfolio Selection#1155242
Record · ID 1115950
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Bring this data into your agent: Connect via MCP or API · 20 free credits to start · no card required
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive