Conditional Value-at-Risk Approach in the Portfolio Optimization

Korean Journal of Financial Studies 2003;32(3):133-165.
Published online September 30, 2003.

Conditional VaR 모형을 사용한 최적자산배분에 관한 연구

김진호, 김윤전

Key Words: 최적자산배분,평균-분산 모형,bootstrap 시뮬레이션,Bootstrapping simulation,conditional Value-at-Risk,Mean-variance approach,Portfolio optimization,Sub-sampling,subsampling 방법

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