Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances (Q1750470)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances |
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Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances (English)
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22 May 2018
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risk management
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data ambiguity
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coherent risk measures
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portfolio optimization
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eurozone crisis
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