Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
From MaRDI portal
Publication:1991930
DOI10.1016/j.jedc.2014.08.015zbMath1402.91744WikidataQ57445416 ScholiaQ57445416MaRDI QIDQ1991930
Minjie Fan, Shu-Shang Zhu, Li, Duan
Publication date: 2 November 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2014.08.015
Bayesian learning; robust optimization; portfolio selection; mixture model; conditional value-at-risk
91G10: Portfolio theory
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Uses Software
Cites Work
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