Mean-CVaR portfolio selection model with ambiguity in distribution and attitude
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Publication:2244258
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Cites work
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- Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance
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- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
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Cited in
(17)- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- A review on ambiguity in stochastic portfolio optimization
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
- Robust international portfolio optimization with worst-case mean-CVaR
- Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
- Portfolio selection with parameter uncertainty under \(\alpha\) maxmin mean-variance criterion
- \(\alpha\)-robust portfolio optimization problem under the distribution uncertainty
- Alpha as ambiguity: robust mean-variance portfolio analysis
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix
- Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance
- Robust portfolio choice with limited attention
- Robust portfolio optimization with a generalized expected utility model under ambiguity
- The asymptotic behavior of optimal portfolio strategies based on general utility with drift rate and volatility following distribution uncertainty
- Robust portfolio selection with distributional uncertainty and integer constraints
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