Portfolio management with robustness in both prediction and decision : a mixture model based learning approach
Shushang Zhu; Minjie Fan; Duan Li
| Year of publication: |
2014
|
|---|---|
| Authors: | Zhu, Shushang ; Fan, Minjie ; Li, Duan |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 48.2014, p. 1-25
|
| Subject: | Portfolio selection | Mixture model | Robust optimization | Bayesian learning | Conditional value-at-risk | Portfolio-Management | Theorie | Theory | Robustes Verfahren | Robust statistics | Risikomaß | Risk measure | Bayes-Statistik | Bayesian inference | Lernprozess | Learning process | Prognoseverfahren | Forecasting model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010485842