Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures (Q2871416): Difference between revisions
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Revision as of 21:17, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures |
scientific article |
Statements
Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures (English)
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23 January 2014
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robust portfolio
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CVaR (conditional value-at-risk)
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coherent risk measure
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factor model
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regularization
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