Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
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Publication:2152585
DOI10.1007/s00245-022-09856-1zbMath1489.91240OpenAlexW4281773316MaRDI QIDQ2152585
Man Yiu Tsang, Hoi Ying Wong, Tony Sit
Publication date: 8 July 2022
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-022-09856-1
Measures of association (correlation, canonical correlation, etc.) (62H20) Stochastic programming (90C15) Portfolio theory (91G10)
Uses Software
Cites Work
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