Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
Aifan Ling, Jie Sun, Meihua Wang
| Year of publication: |
2020
|
|---|---|
| Authors: | Ling, Aifan ; Sun, Jie ; Wang, Meihua |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 285.2020, 1 (16.8.), p. 81-95
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| Subject: | Risk management | Robust portfolio optimization | Lower partial moment | Asymmetric uncertainty set | Multi-period portfolio selection | Portfolio-Management | Portfolio selection | Theorie | Theory | Risiko | Risk | Risikomanagement | Risikomaß | Risk measure | Entscheidung unter Unsicherheit | Decision under uncertainty | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2019.01.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012239481