Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization (Q5131536)
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scientific article; zbMATH DE number 7271392
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization |
scientific article; zbMATH DE number 7271392 |
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Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization (English)
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8 November 2020
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spectral risk measures
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coherent risk measures
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higher-order risk measures
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robust portfolio optimization
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