Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance

DOI10.1007/s00245-017-9452-yzbMath1417.49032OpenAlexW2762196511MaRDI QIDQ2422355

Abdel Lisser, Zhiping Chen, Zhu-Jia Xu, Jia Liu

Publication date: 19 June 2019

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-017-9452-y

zbMATH Keywords

closed-form solutionconditional value-at-riskrobust portfolio selectiondistributionally robust optimizationnested risk measure

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20)

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Robust portfolio optimization: a categorized bibliographic review ⋮ Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty ⋮ Partition-based distributionally robust optimization via optimal transport with order cone constraints ⋮ Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty ⋮ Distributionally robust multi-period portfolio selection subject to bankruptcy constraints ⋮ \(\alpha\)-robust portfolio optimization problem under the distribution uncertainty ⋮ Mean-CVaR portfolio selection model with ambiguity in distribution and attitude ⋮ Distributionally robust optimization. A review on theory and applications

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