KDE distributionally robust portfolio optimization with higher moment coherent risk
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Publication:2070731
DOI10.1007/s10479-021-04171-4zbMath1478.90070OpenAlexW3200654493MaRDI QIDQ2070731
Publication date: 24 January 2022
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-021-04171-4
portfolio optimizationkernel density estimationdistributionally robust optimizationhigher moment coherent risk
Convex programming (90C25) Minimax problems in mathematical programming (90C47) Stochastic programming (90C15) Portfolio theory (91G10)
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Uses Software
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