Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration

DOI10.3934/jimo.2018177zbMath1449.91136OpenAlexW2906845097WikidataQ128644491 ScholiaQ128644491MaRDI QIDQ781087

Han Yang, Jia Yue, Nan-Jing Huang

Publication date: 16 July 2020

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2018177

zbMATH Keywords

multi-objective robust optimizationcross-market mixed portfoliohierarchical risk integrationworst-case value at risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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