Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance (Q2422355)
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scientific article; zbMATH DE number 7068065
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| English | Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance |
scientific article; zbMATH DE number 7068065 |
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Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance (English)
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19 June 2019
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distributionally robust optimization
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robust portfolio selection
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nested risk measure
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conditional value-at-risk
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closed-form solution
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0.8484076857566833
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0.8363268375396729
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0.823192834854126
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0.8178105354309082
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