Ling, Aifan; Sun, Jie; Yang, Xiaoguang - In: Journal of Economic Dynamics and Control 39 (2014) C, pp. 178-207
This paper proposes downside risk measure models in portfolio selection that captures uncertainties both in distribution and in parameters. The worst-case distribution with given information on the mean value and the covariance matrix is used, together with ellipsoidal and polytopic uncertainty...