Robustifying convex risk measures for linear portfolios : a nonparametric approach
David Wozabal
| Year of publication: |
2014
|
|---|---|
| Authors: | Wozabal, David |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 62.2014, 6, p. 1302-1315
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| Subject: | robust optimization | Kantorovich distance | norm-constrained portfolio optimization | soft robust constraints | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Risikomaß | Risk measure | Risiko | Risk | Nichtparametrisches Verfahren | Nonparametric statistics | Messung | Measurement |
| 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/10010471862