Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance

Somayyeh Lotfi, Stavros A. Zenios

Year of publication:	2024
Authors:	Lotfi, Somayyeh ; Zenios, Stauros Andrea
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

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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

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