Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
A. Burak Paç; Mustafa Ç. Pınar
| Year of publication: |
2014
|
|---|---|
| Authors: | Paç, A. Burak ; Pınar, Mustafa Ç. |
| Published in: |
Top : transactions in operations research. - [Berlin] : Springer, ISSN 1134-5764, ZDB-ID 1205918-3. - Vol. 22.2014, 3, p. 875-891
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| Subject: | Robust portfolio choice | Ellipsoidal uncertainty | Conditional Value-at-Risk | Value-at-Risk | Distributional robustness | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Robustes Verfahren | Robust statistics | Theorie | Theory | Risiko | Risk | Statistische Verteilung | Statistical distribution | Entscheidung unter Unsicherheit | Decision under uncertainty |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010437113