Kernel density estimation based distributionally robust mean-CVaR portfolio optimization

DOI10.1007/s10898-022-01177-5zbMath1505.90092OpenAlexW4283662324MaRDI QIDQ2089892

Wei Liu, Bo Yu, Li Yang

Publication date: 24 October 2022

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-022-01177-5

zbMATH Keywords

portfolio optimizationkernel density estimationCVaRdistributionally robust optimization

Mathematics Subject Classification ID

Convex programming (90C25) Applications of mathematical programming (90C90) Robustness in mathematical programming (90C17)

Uses Software

• ROME
• RiskMetrics

Cites Work

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• ROME
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