The optimal portfolio of -maxmin mean-VaR problem for investors

DOI10.1016/J.PHYSA.2019.04.014MaRDI QIDQ2160045zbMATH OpenOpenAlexFDO

Authors Zhilin Kang, Linhai Zhao, Jingyun Sun

Publication date 2 August 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2019.04.014

zbMATH Keywords

\(\alpha\)-maxminambiguity attitudedistribution ambiguityVaR

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Cites work

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Cited in

(1)

• Worst-case omega ratio under distribution uncertainty with its application in robust portfolio selection

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