Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
Year of publication: |
2019
|
---|---|
Authors: | Kang, Zhilin ; Li, Xun ; Li, Zhongfei ; Zhu, Shushang |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 1, p. 105-121
|
Subject: | Bootstrap | Conic programmes | Distributionally robust optimization | Portfolio selection | Zero net adjustment | Portfolio-Management | Robustes Verfahren | Robust statistics | Theorie | Theory | Statistische Verteilung | Statistical distribution | Bootstrap-Verfahren | Bootstrap approach |
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