Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity

DOI10.1007/s11750-013-0303-yzbMath1336.91071MaRDI QIDQ287620

A. Burak Paç, Mustafa Çelebi Pinar

Publication date: 23 May 2016

Published in: Top (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/12942

zbMATH Keywords

value-at-risk; conditional value-at-risk; distributional robustness; ellipsoidal uncertainty; robust portfolio choice

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

91G10: Portfolio theory