Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set
Chi Seng Pun, Tianyu Wang, Zhenzhen Yan
| Year of publication: |
2023
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|---|---|
| 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
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/msom.2023.1229 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014383458