Adjusted robust mean-value-at-risk model: less conservative robust portfolios (Q2401246)
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scientific article; zbMATH DE number 6770917
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| English | Adjusted robust mean-value-at-risk model: less conservative robust portfolios |
scientific article; zbMATH DE number 6770917 |
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Adjusted robust mean-value-at-risk model: less conservative robust portfolios (English)
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8 September 2017
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mean-value-at-risk
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estimation error
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solution robustness
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structure robustness
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robust optimization
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conservatism
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0.8177393674850464
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0.8056103587150574
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0.7949830293655396
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0.794600248336792
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0.7924208641052246
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