KDE distributionally robust portfolio optimization with higher moment coherent risk (Q2070731)
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scientific article; zbMATH DE number 7462458
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | KDE distributionally robust portfolio optimization with higher moment coherent risk |
scientific article; zbMATH DE number 7462458 |
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KDE distributionally robust portfolio optimization with higher moment coherent risk (English)
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24 January 2022
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portfolio optimization
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higher moment coherent risk
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kernel density estimation
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distributionally robust optimization
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0.8937066793441772
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0.7519814372062683
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0.7457790374755859
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0.7434855699539185
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