On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets (Q1621908)
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scientific article; zbMATH DE number 6976241
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| English | On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets |
scientific article; zbMATH DE number 6976241 |
Statements
On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets (English)
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12 November 2018
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naïve diversification
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robust portfolio optimization
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ambiguous and unambiguous assets
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conditional value-at-risk
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worst-case risk measures
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0.89066446
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0.8820287
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0.8765897
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0.8662113
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0.8639006
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0.8635051
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0.86115223
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0.8599124
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0.8545376
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