Mean-CVaR portfolio selection model with ambiguity in distribution and attitude (Q2244258)

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Mean-CVaR portfolio selection model with ambiguity in distribution and attitude
scientific article

    Statements

    title
    Mean-CVaR portfolio selection model with ambiguity in distribution and attitude (English)
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    author
    Zhilin Kang
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    Xingyi Li
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    Zhong-Fei Li
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    publication date
    12 November 2021
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    zbMATH Keywords
    robust portfolio selection
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    \(\alpha\)-robust
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    \(\alpha\)-maxmin
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    mean-CVaR criterion
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    ambiguity attitude
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    cites work

    Identifiers

    Mathematics Subject Classification ID
    91G10
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    62G35
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    90C15
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    91G70
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    zbMATH DE Number
    7425097
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    OpenAlex ID
    W2966367350
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    DOI
    10.3934/JIMO.2019094
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