A relative robust approach on expected returns with bounded CVaR for portfolio selection
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Publication:2239973
DOI10.1016/j.ejor.2021.04.038zbMath1487.91111OpenAlexW3157812000MaRDI QIDQ2239973
Publication date: 5 November 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2021.04.038
Statistical methods; risk measures (91G70) Minimax problems in mathematical programming (90C47) Portfolio theory (91G10)
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