Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
Somayyeh Lotfi, Stavros A. Zenios
| Year of publication: |
1 September 2018
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| Authors: | Lotfi, Somayyeh ; Zenios, Stauros Andrea |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 269.2018, 2 (1.9.), p. 556-576
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| Subject: | Risk management | Data ambiguity | Coherent risk measures | Portfolio optimization | Eurozone crisis | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Risikomanagement | Risiko | Risk | Eurozone | Euro area | Statistische Verteilung | Statistical distribution | Entscheidung unter Unsicherheit | Decision under uncertainty | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2018.02.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011864407