Robust portfolio selection with subjective risk aversion under dependence uncertainty

Xiaoshan Su, Yuhan Li

Year of publication:	2024
Authors:	Su, Xiaoshan ; Li, Yuhan
Subject:	Mixture R-vine copula uncertainty \| R-vine copula change-point detection \| Robust portfolio decisions \| Subjective risk aversion \| Worst-case spectral risk measures \| Portfolio-Management \| Portfolio selection \| Risikoaversion \| Risk aversion \| Theorie \| Theory \| Multivariate Verteilung \| Multivariate distribution \| Risiko \| Risk \| Risikomaß \| Risk measure \| Entscheidung unter Unsicherheit \| Decision under uncertainty \| Robustes Verfahren \| Robust statistics \| Erwartungsnutzen \| Expected utility \| Risikomanagement \| Risk management

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1016/j.econmod.2024.106667 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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