An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
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Publication:1750392
DOI10.1007/s00186-017-0614-0zbMath1388.91139OpenAlexW2761152713MaRDI QIDQ1750392
Publication date: 18 May 2018
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-017-0614-0
Related Items (5)
The optimal portfolio of \(\alpha\)-maxmin mean-VaR problem for investors ⋮ Best-case scenario robust portfolio: evidence from China stock market ⋮ A possibilistic portfolio model with fuzzy liquidity constraint ⋮ Mean-CVaR portfolio selection model with ambiguity in distribution and attitude ⋮ Research on probability mean-lower semivariance-entropy portfolio model with background risk
Uses Software
Cites Work
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