AirXCell User Guide Bibliography

Articles

[1] Investopedia. Investopedia . Conditional Value At Risk - CVaR .

[2] R. Tyrrell Rockafellar and Stanislav Uryasev. AOrDa.com . Optimization of Conditional Value-at-Risk .

[3] Wei Ning Cho. Imperial College London / Department of Computing . Robust Portfolio Optimization Using Conditional Value At Risk .

[4] Wikipedia. Wikipedia . Value At Risk .

[5] Wikipedia. Wikipedia . Modern Portfolio Theory .

[6] K V Fernando. NAG Ltd . Practical Portfolio Optimization .

[7] Francesco Cesarone, Andrea Scozzari, and Fabio Tardella. Universitµa di Roma - La Sapienza . Practical Portfolio Optimization .

[8] Enrico De Giorgi. University of St. Gallen - Department of Economics . A Note on Portfolio Selection under Various Risk Measures .

[9] M. J. D. Powell. University of Cambridge . On the quadratic programming algorithm of Goldfarb and Idnani .

[10] Manfred Gilli, Dietmar Maringer, and Enrico Schuman. Academic Press. 978-0-12-375662-6. Academic Press. Numerical Method sand Optimization in Finance.

[11] David Ruppert. Springer. 978-1-4419-7787-8. Springer. Statistics and Data Analysis for Financial Engineering.

[12] Wikipedia. Wikipedia . Estimation of covariance matrices .

[14] Wikipedia. Wikipedia . Option (finance) .