Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance (Q2422355): Difference between revisions

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Latest revision as of 14:46, 19 July 2024

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Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance
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    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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