Portfolio Selection under Distributional Uncertainty: A Relative Robust CVaR in Portfolio Management
Robust optimization, one of the most popular topics in the field of optimization and control since the late 1990s, deals with an optimization problem involving uncertain parameters. In this paper, we consider the relative robust conditional value-at-risk portfolio selection problem where the underly...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/4782 https://ink.library.smu.edu.sg/context/lkcsb_research/article/5781/viewcontent/HuangD_jejor2009_PortfolioSelectionDistUncertainity_PP.pdf |
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| Institution: | Singapore Management University |
| Language: | English |