Polyhedral coherent risk measure and distributionally robust portfolio optimization (Q6160556)
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scientific article; zbMATH DE number 7683858
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| English | Polyhedral coherent risk measure and distributionally robust portfolio optimization |
scientific article; zbMATH DE number 7683858 |
Statements
Polyhedral coherent risk measure and distributionally robust portfolio optimization (English)
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10 May 2023
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coherent risk measure
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polyhedral coherent risk measure
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conditional value-at-risk (CVaR)
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ambiguity set
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distributionally robust optimization
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optimized certainty equivalent
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portfolio optimization
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deviation measure
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0.8864607214927673
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0.8753037452697754
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0.8729599118232727
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0.8709310293197632
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0.8704996109008789
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