Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance
Year of publication: |
2024
|
---|---|
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
|
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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