Robust asset allocation with conditional value at risk using the forward search
type: Item
instance of: scholarly article
title: Robust asset allocation with conditional value at risk using the forward search
author: Luigi Grossi
author: Fabrizio Laurini
published in: Applied Stochastic Models in Business and Industry
publication date: 2024-07-23T00:00:00Z
Mathematics Subject Classification ID: 62-XX
zbMATH DE Number: 7885144
zbMATH Keywords: asset allocation
zbMATH Keywords: CVaR
zbMATH Keywords: forward search
zbMATH Keywords: influential observations
zbMATH Keywords: robustness
zbMATH Keywords: sensitivity analysis
MaRDI profile type: MaRDI publication profile
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DOI: 10.1002/ASMB.2492
description: scientific article; zbMATH DE number 7885144