Distributionally robust portfolio optimization with linearized STARR performance measure (Q5068074)
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 7503254
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Distributionally robust portfolio optimization with linearized STARR performance measure |
scientific article; zbMATH DE number 7503254 |
Statements
Distributionally robust portfolio optimization with linearized STARR performance measure (English)
0 references
5 April 2022
0 references
distributionally robust optimization
0 references
LSTARR performance measure
0 references
Wasserstein metric
0 references
conditional value-at-risk
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8843727
0 references
0.8782476
0 references
0.8761412
0 references
0.8760922
0 references
0.8759597
0 references
0.87589955
0 references
0.86998403
0 references
0.8679555
0 references
