Portfolio selection under distributional uncertainty: a relative robust CVaR approach (Q1043348): Difference between revisions
From MaRDI portal
Latest revision as of 06:09, 2 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Portfolio selection under distributional uncertainty: a relative robust CVaR approach |
scientific article |
Statements
Portfolio selection under distributional uncertainty: a relative robust CVaR approach (English)
0 references
7 December 2009
0 references
conditional value-at-risk
0 references
worst-case conditional value-at-risk
0 references
relative robust conditional value-at-risk
0 references
portfolio selection problem
0 references
linear programming
0 references
0 references
0 references