Time consistent multi-period worst-case risk measure in robust portfolio selection
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Publication:1655925
DOI10.1007/s40305-017-0188-9zbMath1413.91084OpenAlexW2789386907MaRDI QIDQ1655925
Yong-Chang Hui, Zhiping Chen, Jia Liu
Publication date: 10 August 2018
Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40305-017-0188-9
conditional value-at-riskdistributionally robust optimizationmulti-period risk measuredynamic portfolio selection
Related Items (2)
Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty ⋮ Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
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