Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance (Q2422355): Difference between revisions
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Revision as of 07:07, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance |
scientific article |
Statements
Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance (English)
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19 June 2019
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distributionally robust optimization
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robust portfolio selection
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nested risk measure
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conditional value-at-risk
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closed-form solution
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