Portfolio selection under distributional uncertainty: a relative robust CVaR approach
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Publication:1043348
DOI10.1016/j.ejor.2009.07.010zbMath1176.91145OpenAlexW1984815937MaRDI QIDQ1043348
Dashan Huang, Masao Fukushima, Frank J. Fabozzi, Shu-Shang Zhu
Publication date: 7 December 2009
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2433/87374
linear programmingconditional value-at-riskworst-case conditional value-at-riskportfolio selection problemrelative robust conditional value-at-risk
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