Tail risk and robust portfolio decisions
Xing Jin, Dan Luo, Xudong Zeng
| Year of publication: |
2021
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|---|---|
| Authors: | Jin, Xing ; Luo, Dan ; Zeng, Xudong |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 67.2021, 5, p. 3254-3275
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| Subject: | tail risk | jump ambiguity | robust decisions | portfolio selection | Portfolio-Management | Portfolio selection | Entscheidung unter Unsicherheit | Decision under uncertainty | Risikomaß | Risk measure | Robustes Verfahren | Robust statistics | Theorie | Theory | Statistische Verteilung | Statistical distribution | Risiko | Risk | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2020.3615 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012581376