CVaR robust mean-CVaR portfolio optimization model and the solving methods (Q5371804)
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 6796423
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | CVaR robust mean-CVaR portfolio optimization model and the solving methods |
scientific article; zbMATH DE number 6796423 |
Statements
20 October 2017
0 references
portfolio selection
0 references
dual method
0 references
smoothing method
0 references
resampling
0 references
0.8705117702484131
0 references
0.8195528984069824
0 references
0.814914345741272
0 references
0.8121520280838013
0 references
0.8039284944534302
0 references
