Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity (Q287620)
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scientific article; zbMATH DE number 6583685
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| English | Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity |
scientific article; zbMATH DE number 6583685 |
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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0.9483079
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0.9365289
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0.92920995
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0.92743254
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0.92581666
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0.9241247
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0.9230264
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0.91640633
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