Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
Year of publication: |
2014
|
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Authors: | Paç, A. Burak ; Pınar, Mustafa Ç. |
Published in: |
Top : transactions in operations research. - [Berlin] : Springer, ISSN 1134-5764, ZDB-ID 1205918-3. - Vol. 22.2014, 3, p. 875-891
|
Subject: | Robust portfolio choice | Ellipsoidal uncertainty | Conditional Value-at-Risk | Value-at-Risk | Distributional robustness | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Robustes Verfahren | Robust statistics | Theorie | Theory | Entscheidung unter Unsicherheit | Decision under uncertainty | Statistische Verteilung | Statistical distribution | Risiko | Risk | Kapitaleinkommen | Capital income |
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