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Robust portfolio selection with a combined WCVaR and factor model - MaRDI portal

Robust portfolio selection with a combined WCVaR and factor model (Q2358869)

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Robust portfolio selection with a combined WCVaR and factor model
scientific article

    Statements

    title
    Robust portfolio selection with a combined WCVaR and factor model (English)
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    author
    Ke Ruan
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    Masao Fukushima
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    publication date
    16 June 2017
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    zbMATH Keywords
    portfolio selection
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    worst-case conditional value-at-risk
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    multi-factor model
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    linear programming
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    Identifiers

    Mathematics Subject Classification ID
    90B50
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    90C05
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    90C90
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    91G10
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    zbMATH DE Number
    6732047
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    OpenAlex ID
    W2315799257
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