Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance
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Publication:2422355
DOI10.1007/s00245-017-9452-yzbMath1417.49032MaRDI QIDQ2422355
Abdel Lisser, Zhiping Chen, Zhu-Jia Xu, Jia Liu
Publication date: 19 June 2019
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-017-9452-y
closed-form solution; conditional value-at-risk; robust portfolio selection; distributionally robust optimization; nested risk measure
49L20: Dynamic programming in optimal control and differential games
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