Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances (Q1750470)
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: Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances |
scientific article; zbMATH DE number 6870773
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances |
scientific article; zbMATH DE number 6870773 |
Statements
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances (English)
0 references
22 May 2018
0 references
risk management
0 references
data ambiguity
0 references
coherent risk measures
0 references
portfolio optimization
0 references
eurozone crisis
0 references
0 references
0 references
0 references
