Robust portfolio selection with a combined WCVaR and factor model (Q2358869)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6732047
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Robust portfolio selection with a combined WCVaR and factor model |
scientific article; zbMATH DE number 6732047 |
Statements
Robust portfolio selection with a combined WCVaR and factor model (English)
0 references
16 June 2017
0 references
portfolio selection
0 references
worst-case conditional value-at-risk
0 references
multi-factor model
0 references
linear programming
0 references
0 references
0.8310465216636658
0 references
0.8151550889015198
0 references
0.8100295066833496
0 references
0.8043252825737
0 references
0.8016741275787354
0 references
