An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution (Q1750392)
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scientific article; zbMATH DE number 6870710
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| English | An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution |
scientific article; zbMATH DE number 6870710 |
Statements
An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution (English)
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18 May 2018
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portfolio selection
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multiple-risk measures
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distribution ambiguity
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minimum variance portfolio
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robustness
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0.8760213851928711
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0.8583434820175171
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0.8548640608787537
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0.8497723937034607
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0.840103268623352
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