Time consistent multi-period worst-case risk measure in robust portfolio selection
type: Item
instance of: scholarly article
title: Time consistent multi-period worst-case risk measure in robust portfolio selection
zbMATH Open document ID: 1413.91084
author: Jia Liu
author: Zhiping Chen
author: Yong-Chang Hui
published in: Journal of the Operations Research Society of China
publication date: 2018-08-10T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6915808
zbMATH Keywords: distributionally robust optimization
zbMATH Keywords: multi-period risk measure
zbMATH Keywords: dynamic portfolio selection
zbMATH Keywords: conditional value-at-risk
MaRDI profile type: Publication
full work available at URL: s40305-017-0188-9
OpenAlex ID: W2789386907
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DOI: 10.1007/S40305-017-0188-9
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description: scientific article; zbMATH DE number 6915808