Time consistent multi-period worst-case risk measure in robust portfolio selection (Q1655925)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Time consistent multi-period worst-case risk measure in robust portfolio selection |
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Time consistent multi-period worst-case risk measure in robust portfolio selection (English)
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10 August 2018
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distributionally robust optimization
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multi-period risk measure
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dynamic portfolio selection
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conditional value-at-risk
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