f-Betas and portfolio optimization with f-divergence induced risk measures

DOI10.1080/14697688.2023.2230629zbMath1530.91524arXiv2302.00452OpenAlexW4383721022MaRDI QIDQ6063323

Rui Ding

Publication date: 7 November 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2302.00452

zbMATH Keywords

portfolio optimizationrisk measuresrisk managementCAPMbetadistributionally robust optimizationdrawdownstatistical divergences

Mathematics Subject Classification ID

Portfolio theory (91G10)

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