f-Betas and portfolio optimization with f-divergence induced risk measures (Q6063323)
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scientific article; zbMATH DE number 7762003
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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)
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7 November 2023
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portfolio optimization
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risk management
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CAPM
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risk measures
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drawdown
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beta
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distributionally robust optimization
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statistical divergences
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