KDE distributionally robust portfolio optimization with higher moment coherent risk
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Publication:2070731
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- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
- scientific article; zbMATH DE number 4001209 (Why is no real title available?)
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Cited in
(7)- Kernel density estimation based distributionally robust mean-CVaR portfolio optimization
- Practicable robust stochastic optimization under divergence measures with an application to equitable humanitarian response planning
- CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process
- Two-stage international portfolio models with higher moment risk measures
- Developing reward-risk aversion distributionally robust contract design models under ambiguous output probabilities
- Hedging against demand ambiguity in new product development: a two-stage distributionally robust approach
- The conditional higher moment risk measure for extreme risks
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