Robust portfolio selection with a combined WCVaR and factor model (Q2358869)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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