Distributionally robust portfolio optimization with linearized STARR performance measure
Ran Ji, Miguel A. Lejeune and Zhengyang Fan
| Year of publication: |
2022
|
|---|---|
| Authors: | Ji, Ran ; Lejeune, Miguel A. ; Fan, Zhengyang |
| Subject: | Conditional value-at-risk | Distributionally robust optimization | LSTARR performance measure | Wasserstein metric | Portfolio-Management | Portfolio selection | Performance-Messung | Performance measurement | Risikomaß | Risk measure | Robustes Verfahren | Robust statistics | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Statistische Verteilung | Statistical distribution |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1993623 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012872526