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Worst-case distortion risk measure with application to robust portfolio selection (Q6585940)

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scientific article; zbMATH DE number 7895237
Language Label Description Also known as
English
Worst-case distortion risk measure with application to robust portfolio selection
scientific article; zbMATH DE number 7895237

    Statements

    title
    Worst-case distortion risk measure with application to robust portfolio selection (English)
    0 references
    author
    Xuechen Yan
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    Lu Li
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    Yashi Wang
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    publication date
    12 August 2024
    0 references
    zbMATH Keywords
    distortion risk measure
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    portfolio strategy
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    robust model
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    Wasserstein distance
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    Identifiers

    zbMATH DE Number
    7895237
    0 references
     
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