Worst-case distortion risk measure with application to robust portfolio selection

DOI10.3969/j.issn.1001-4268.2024.01.008MaRDI QIDQ6585940

Xuechen Yan, Lu Li, Yashi Wang

Publication date: 12 August 2024

Published in: Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

Wasserstein distancedistortion risk measureportfolio strategyrobust model

Mathematics Subject Classification ID

Probabilistic measure theory (60A10) Portfolio theory (91G10)

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