Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
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Publication:287620
DOI10.1007/s11750-013-0303-yzbMath1336.91071OpenAlexW2163549255MaRDI QIDQ287620
A. Burak Paç, Mustafa Çelebi Pinar
Publication date: 23 May 2016
Published in: Top (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11693/12942
value-at-riskconditional value-at-riskdistributional robustnessellipsoidal uncertaintyrobust portfolio choice
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