Polyhedral coherent risk measure and distributionally robust portfolio optimization
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Publication:6160556
DOI10.1007/s10559-023-00545-7zbMath1515.91142OpenAlexW4321612607MaRDI QIDQ6160556
Publication date: 10 May 2023
Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10559-023-00545-7
portfolio optimizationpolyhedral coherent risk measurecoherent risk measuredistributionally robust optimizationconditional value-at-risk (CVaR)deviation measureambiguity setoptimized certainty equivalent
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