Portfolio selection with parameter uncertainty under maxmin mean-variance criterion
Year of publication: |
2020
|
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Authors: | Yu, Xingying ; Shen, Yang ; Li, Xiang ; Fan, Kun |
Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 48.2020, 6, p. 720-724
|
Subject: | Portfolio selection | Uncertainty | Ambiguity seeking | Ambiguity aversion | Quasi-efficient frontier | Portfolio-Management | Entscheidung unter Unsicherheit | Decision under uncertainty | Theorie | Theory | Risiko | Risk | Risikoaversion | Risk aversion |
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