Polyhedral coherent risk measure and distributionally robust portfolio optimization (Q6160556)
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scientific article; zbMATH DE number 7683858
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Polyhedral coherent risk measure and distributionally robust portfolio optimization |
scientific article; zbMATH DE number 7683858 |
Statements
Polyhedral coherent risk measure and distributionally robust portfolio optimization (English)
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10 May 2023
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coherent risk measure
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polyhedral coherent risk measure
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conditional value-at-risk (CVaR)
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ambiguity set
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distributionally robust optimization
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optimized certainty equivalent
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portfolio optimization
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deviation measure
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