An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
Zhilin Kang, Zhongfei Li
| Year of publication: |
April 2018
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| Authors: | Kang, Zhilin ; Li, Zhongfei |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 87.2018, 2, p. 169-195
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| Subject: | Portfolio selection | Multiple-risk measures | Distribution ambiguity | Minimum variance portfolio | Robustness | Portfolio-Management | Theorie | Theory | Robustes Verfahren | Robust statistics | Entscheidung unter Unsicherheit | Decision under uncertainty | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Mathematische Optimierung | Mathematical programming | Risikoaversion | Risk aversion | Erwartungsnutzen | Expected utility |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-017-0614-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011873984