@article{enhancingcvarportfoliooptimisation,
  title = {Enhancing CVaR portfolio optimisation performance with GAM factor models},
  author = {Davide Lauria and W. Brent Lindquist and Svetlozar T. Rachev},
  year = {2023},
  eprint = {2401.00188},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2401.00188v1},
}