Portfolio selection under distributional uncertainty: a relative robust CVaR approach (Q1043348): Difference between revisions
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Revision as of 05:56, 21 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio selection under distributional uncertainty: a relative robust CVaR approach |
scientific article |
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Portfolio selection under distributional uncertainty: a relative robust CVaR approach (English)
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7 December 2009
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conditional value-at-risk
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worst-case conditional value-at-risk
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relative robust conditional value-at-risk
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portfolio selection problem
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linear programming
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