Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance
Somayyeh Lotfi, Stavros A. Zenios
| Year of publication: |
2024
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|---|---|
| Authors: | Lotfi, Somayyeh ; Zenios, Stauros Andrea |
| Published in: |
Review of managerial science : RMS. - Berlin : Springer, ISSN 1863-6691, ZDB-ID 2365045-X. - Vol. 18.2024, 7, p. 2115-2140
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| Subject: | Ambiguity | Conditional Value-at-Risk | Equity home bias puzzle | International portfolios | Portfoliodiversifikation | Portfolio diversification | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure | Entscheidung unter Unsicherheit | Decision under uncertainty | Korrelation | Correlation | Portfolio-Investition | Foreign portfolio investment | Internationaler Finanzmarkt | International financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11846-023-00715-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015134061