Robust portfolio selection with a combined WCVaR and factor model (Q2358869): Difference between revisions
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Revision as of 23:31, 13 July 2024
scientific article
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English | Robust portfolio selection with a combined WCVaR and factor model |
scientific article |
Statements
Robust portfolio selection with a combined WCVaR and factor model (English)
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16 June 2017
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portfolio selection
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worst-case conditional value-at-risk
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multi-factor model
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linear programming
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