The sovereign property of foreign reserve investment in China: A CVaR approach
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References listed on IDEAS
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- Xu, Qifa & Zhou, Yingying & Jiang, Cuixia & Yu, Keming & Niu, Xufeng, 2016. "A large CVaR-based portfolio selection model with weight constraints," Economic Modelling, Elsevier, vol. 59(C), pages 436-447.
More about this item
KeywordsForeign reserves; Sovereign property; Conditional value at risk;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- F49 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Other
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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