Portfolio selection under distributional uncertainty: a relative robust CVaR approach
From MaRDI portal
Publication:1043348
DOI10.1016/j.ejor.2009.07.010zbMath1176.91145MaRDI QIDQ1043348
Masao Fukushima, Frank J. Fabozzi, Dashan Huang, 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 programming; conditional value-at-risk; worst-case conditional value-at-risk; portfolio selection problem; relative robust conditional value-at-risk