Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach
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Publication:2941425
DOI10.1287/opre.2014.1323zbMath1358.91116OpenAlexW1972388944MaRDI QIDQ2941425
Publication date: 28 August 2015
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.2014.1323
robust optimizationKantorovich distancenorm-constrained portfolio optimizationsoft robust constraints
Statistical methods; risk measures (91G70) Stochastic programming (90C15) Programming in abstract spaces (90C48) Portfolio theory (91G10)
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