KDE distributionally robust portfolio optimization with higher moment coherent risk
type: Item
instance of: scholarly article
title: KDE distributionally robust portfolio optimization with higher moment coherent risk
zbMATH Open document ID: 1478.90070
author: Wei Liu
author: Li Yang
author: Bo Yu
published in: Annals of Operations Research
publication date: 2022-01-24T00:00:00Z
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C25
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C47
zbMATH DE Number: 7462458
zbMATH Keywords: portfolio optimization
zbMATH Keywords: higher moment coherent risk
zbMATH Keywords: kernel density estimation
zbMATH Keywords: distributionally robust optimization
describes a project that uses: RiskMetrics
describes a project that uses: ROME
describes a project that uses: CVX
MaRDI profile type: Publication
full work available at URL: s10479-021-04171-4
OpenAlex ID: W3200654493
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DOI: 10.1007/S10479-021-04171-4
description: scientific article; zbMATH DE number 7462458