On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets
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Publication:1621908
DOI10.1007/s10479-017-2619-8zbMath1417.91475OpenAlexW2753198323MaRDI QIDQ1621908
A. Burak Paç, Mustafa Çelebi Pinar
Publication date: 12 November 2018
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-017-2619-8
conditional value-at-riskrobust portfolio optimizationambiguous and unambiguous assetsnaïve diversificationworst-case risk measures
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