Distributionally robust portfolio optimization with linearized STARR performance measure (Q5068074)
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scientific article; zbMATH DE number 7503254
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Distributionally robust portfolio optimization with linearized STARR performance measure |
scientific article; zbMATH DE number 7503254 |
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Distributionally robust portfolio optimization with linearized STARR performance measure (English)
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5 April 2022
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distributionally robust optimization
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LSTARR performance measure
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Wasserstein metric
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conditional value-at-risk
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