Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
Year of publication: |
2020
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Authors: | Ling, Aifan ; Sun, Jie ; Wang, Meihua |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 285.2020, 1 (16.8.), p. 81-95
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Subject: | Risk management | Robust portfolio optimization | Lower partial moment | Asymmetric uncertainty set | Multi-period portfolio selection | Theorie | Theory | Portfolio-Management | Portfolio selection | Risiko | Risk | Risikomanagement | Entscheidung unter Unsicherheit | Decision under uncertainty | Robustes Verfahren | Robust statistics | Risikomaß | Risk measure |
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