Distributionally robust portfolio optimization with linearized STARR performance measure
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Publication:5068074
DOI10.1080/14697688.2021.1993623zbMath1484.91427OpenAlexW3215687324MaRDI QIDQ5068074
Zhengyang Fan, Miguel A. Lejeune, Ran Ji
Publication date: 5 April 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2021.1993623
Wasserstein metricconditional value-at-riskdistributionally robust optimizationLSTARR performance measure
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