Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach (Q2941425)

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Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach
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    Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach (English)
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    28 August 2015
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    robust optimization
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    Kantorovich distance
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    norm-constrained portfolio optimization
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    soft robust constraints
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