f-Betas and portfolio optimization with f-divergence induced risk measures (Q6063323)
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 7762003
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | f-Betas and portfolio optimization with f-divergence induced risk measures |
scientific article; zbMATH DE number 7762003 |
Statements
f-Betas and portfolio optimization with f-divergence induced risk measures (English)
0 references
7 November 2023
0 references
portfolio optimization
0 references
risk management
0 references
CAPM
0 references
risk measures
0 references
drawdown
0 references
beta
0 references
distributionally robust optimization
0 references
statistical divergences
0 references
0 references
0.7535408735275269
0 references
0.7078846096992493
0 references
0.7052485346794128
0 references
