Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach (Q2149552)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach |
scientific article; zbMATH DE number 7550205
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach |
scientific article; zbMATH DE number 7550205 |
Statements
Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach (English)
0 references
29 June 2022
0 references
risk spectrum
0 references
ambiguity of the true risk spectrum
0 references
RSRM
0 references
tractable formulation
0 references
error bound
0 references
0 references
