f-Betas and portfolio optimization with f-divergence induced risk measures
Rui Ding
| Year of publication: |
2023
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|---|---|
| Authors: | Ding, Rui |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 10, p. 1483-1496
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| Subject: | Beta | CAPM | Distributionally robust optimization | Drawdown | Portfolio optimization | Risk management | Risk measures | Statistical divergences | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomanagement | Risikomaß | Risk measure | Messung | Measurement | Risiko | Risk | Robustes Verfahren | Robust statistics | Betafaktor | Beta risk | Statistische Methode | Statistical method | Mathematische Optimierung | Mathematical programming | Statistische Verteilung | Statistical distribution |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2230629 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014419172