Worst-case distortion risk measure with application to robust portfolio selection (Q6585940)
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scientific article; zbMATH DE number 7895237
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| English | Worst-case distortion risk measure with application to robust portfolio selection |
scientific article; zbMATH DE number 7895237 |
Statements
Worst-case distortion risk measure with application to robust portfolio selection (English)
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12 August 2024
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distortion risk measure
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portfolio strategy
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robust model
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Wasserstein distance
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0.8438830375671387
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0.8065546751022339
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0.8045369982719421
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0.7991246581077576
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0.7973600625991821
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