Worst-case distortion risk measure with application to robust portfolio selection
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Publication:6585940
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Cites work
- Axiomatic characterization of insurance prices
- Coherent measures of risk
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Remarks on quantiles and distortion risk measures
- Robust distortion risk measures
- Stochastic finance. An introduction in discrete time.
- Technical note: closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
- The Dual Theory of Choice under Risk
- The earth mover's distance as a metric for image retrieval
- Tight bounds for some risk measures, with applications to robust portfolio selection
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Worst-case conditional value-at-risk with application to robust portfolio management
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