Data-driven robust mean-CVaR portfolio selection under distribution ambiguity (Q4628038): Difference between revisions

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Latest revision as of 15:47, 18 July 2024

scientific article; zbMATH DE number 7032863
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English
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
scientific article; zbMATH DE number 7032863

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    Data-driven robust mean-CVaR portfolio selection under distribution ambiguity (English)
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    6 March 2019
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    portfolio selection
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    distributionally robust optimization
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    zero net adjustment
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    bootstrap
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    conic programmes
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