Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set

Chi Seng Pun, Tianyu Wang, Zhenzhen Yan

Year of publication:	2023
Authors:	Pun, Chi Seng ; Wang, Tianyu ; Yan, Zhenzhen
Published in:	Manufacturing & service operations management : M & SOM. - Linthicum, Md. : Informs, ISSN 1526-5498, ZDB-ID 2023273-1. - Vol. 25.2023, 5, p. 1779-1795
Subject:	hidden Markov model \| portfolio selection \| regime-switching ambiguity \| time-varying uncertainty \| Portfolio-Management \| Portfolio selection \| Markov-Kette \| Markov chain \| Theorie \| Theory \| Entscheidung unter Unsicherheit \| Decision under uncertainty \| Statistische Verteilung \| Statistical distribution \| Risiko \| Risk \| Risikomaß \| Risk measure \| Robustes Verfahren \| Robust statistics \| Stochastischer Prozess \| Stochastic process

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