Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10010388754
Persistent link: https://www.econbiz.de/10011611260
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...
Persistent link: https://www.econbiz.de/10010744192