Mean-CVaR portfolio selection model with ambiguity in distribution and attitude (Q2244258)
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scientific article; zbMATH DE number 7425097
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| English | Mean-CVaR portfolio selection model with ambiguity in distribution and attitude |
scientific article; zbMATH DE number 7425097 |
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Mean-CVaR portfolio selection model with ambiguity in distribution and attitude (English)
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12 November 2021
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robust portfolio selection
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\(\alpha\)-robust
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\(\alpha\)-maxmin
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mean-CVaR criterion
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ambiguity attitude
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0.8855015635490417
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0.8548640608787537
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0.8443567752838135
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0.8252142071723938
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0.8251604437828064
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