Data-driven robust mean-CVaR portfolio selection under distribution ambiguity (Q4628038)
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scientific article; zbMATH DE number 7032863
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Data-driven robust mean-CVaR portfolio selection under distribution ambiguity |
scientific article; zbMATH DE number 7032863 |
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Data-driven robust mean-CVaR portfolio selection under distribution ambiguity (English)
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6 March 2019
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portfolio selection
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distributionally robust optimization
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zero net adjustment
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bootstrap
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conic programmes
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