Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
Zhilin Kang, Xun Li, Zhongfei Li and Shushang Zhu
| Year of publication: |
2019
|
|---|---|
| Authors: | Kang, Zhilin ; Li, Xun ; Li, Zhongfei ; Zhu, Shushang |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 1, p. 105-121
|
| Subject: | Bootstrap | Conic programmes | Distributionally robust optimization | Portfolio selection | Zero net adjustment | Portfolio-Management | Robustes Verfahren | Robust statistics | Theorie | Theory | Statistische Verteilung | Statistical distribution | Bootstrap-Verfahren | Bootstrap approach |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1466057 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194623