Mean-CVaR portfolio selection model with ambiguity in distribution and attitude
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Publication:2244258
DOI10.3934/jimo.2019094zbMath1476.91152OpenAlexW2966367350MaRDI QIDQ2244258
Xingyi Li, Zhilin Kang, Zhong-Fei Li
Publication date: 12 November 2021
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2019094
Nonparametric robustness (62G35) Statistical methods; risk measures (91G70) Stochastic programming (90C15) Portfolio theory (91G10)
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