Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity (Q287620)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity |
scientific article |
Statements
Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity (English)
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23 May 2016
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robust portfolio choice
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ellipsoidal uncertainty
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conditional value-at-risk
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value-at-risk
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distributional robustness
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