Time consistent multi-period worst-case risk measure in robust portfolio selection (Q1655925)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Time consistent multi-period worst-case risk measure in robust portfolio selection |
scientific article; zbMATH DE number 6915808
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Time consistent multi-period worst-case risk measure in robust portfolio selection |
scientific article; zbMATH DE number 6915808 |
Statements
Time consistent multi-period worst-case risk measure in robust portfolio selection (English)
0 references
10 August 2018
0 references
distributionally robust optimization
0 references
multi-period risk measure
0 references
dynamic portfolio selection
0 references
conditional value-at-risk
0 references
0 references
0 references
0 references
0.9311881
0 references
0.92596567
0 references
0.91030097
0 references
0.9006662
0 references
0.8973466
0 references
0.8938717
0 references
0.89381284
0 references
0.89000857
0 references
0.8866314
0 references
