Portfolio selection under distributional uncertainty: a relative robust CVaR approach (Q1043348)
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scientific article; zbMATH DE number 5643711
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| English | Portfolio selection under distributional uncertainty: a relative robust CVaR approach |
scientific article; zbMATH DE number 5643711 |
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Portfolio selection under distributional uncertainty: a relative robust CVaR approach (English)
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7 December 2009
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conditional value-at-risk
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worst-case conditional value-at-risk
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relative robust conditional value-at-risk
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portfolio selection problem
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linear programming
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0.9483079
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0.9322144
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0.91854894
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0.9181912
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0.90958667
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0.90956473
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0.90678406
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