Kernel density estimation based distributionally robust mean-CVaR portfolio optimization (Q2089892)
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scientific article; zbMATH DE number 7606104
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| default for all languages | No label defined |
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| English | Kernel density estimation based distributionally robust mean-CVaR portfolio optimization |
scientific article; zbMATH DE number 7606104 |
Statements
Kernel density estimation based distributionally robust mean-CVaR portfolio optimization (English)
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24 October 2022
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portfolio optimization
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distributionally robust optimization
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kernel density estimation
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CVaR
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0.8937066793441772
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0.7625634074211121
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0.7520931363105774
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0.7486998438835144
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0.7378349304199219
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