Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set
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 |
-
Hidden semi-Markov models for rainfall-related insurance claims
Shi, Yue, (2023)
-
Tail risk and robust portfolio decisions
Jin, Xing, (2021)
-
Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
Paç, A. Burak, (2014)
- More ...
-
Time-consistent mean-variance portfolio selection with only risky assets
Pun, Chi Seng, (2018)
-
G-expected utility maximization with ambiguous equicorrelation
Pun, Chi Seng, (2021)
-
Robust classical-impulse stochastic control problems in an infinite horizon
Pun, Chi Seng, (2022)
- More ...