A robust ordered weighted averaging loss model for portfolio optimization
Stefano Benati, Eduardo Conde
| Year of publication: |
2024
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|---|---|
| Authors: | Benati, Stefano ; Sánchez Conde, Eduardo |
| Published in: |
Computers & operations research : an international journal. - Amsterdam [u.a.] : Elsevier, ISSN 0305-0548, ZDB-ID 1499736-8. - Vol. 167.2024, Art.-No. 106666, p. 1-13
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| Subject: | Conditional value-at-risk | Mean-risk models | Minimax regret models | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Entscheidung unter Unsicherheit | Decision under uncertainty | Schätztheorie | Estimation theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.cor.2024.106666 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014566418