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CVaR-based robust models for portfolio selection - MaRDI portal

CVaR-based robust models for portfolio selection (Q2190316)

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CVaR-based robust models for portfolio selection
scientific article

    Statements

    title
    CVaR-based robust models for portfolio selection (English)
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    author
    Yufei Sun
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    Ee Ling Grace Aw
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    Bin Li
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    Jie Sun
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    Kok Lay Teo
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    publication date
    18 June 2020
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    zbMATH Keywords
    portfolio optimization
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    risk measure
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    CVaR
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    distributionally robust optimization
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    conic optimization
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    Identifiers

    DOI
    10.3934/jimo.2019032
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    Mathematics Subject Classification ID
    90C15
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    91G10
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    90C17
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    zbMATH DE Number
    7213114
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    OpenAlex ID
    W2946443698
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    Wikidata QID
    Q127765276
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