Ambiguous Risk Measures and Optimal Robust Portfolios

DOI10.1137/060654803zbMath1154.91022OpenAlexW2092866161MaRDI QIDQ3519406

Giuseppe Carlo Calafiore

Publication date: 14 August 2008

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/060654803

zbMATH Keywords

robust optimizationportfolio selectionasset allocationstatistical ambiguityworst-case financial risk

Mathematics Subject Classification ID

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