Portfolio Selection under Distributional Uncertainty: A Relative Robust CVaR in Portfolio Management

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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書目詳細資料
Main Authors:	Dashan HUANG, ZHU, Shushang, FABOZZI, Frank, FUKUSHIMA, Masao
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2010
主題:	Conditional value-at-risk; Worst-case conditional value-at-risk; Relative robust conditional value-at-risk; Portfolio selection problem; Linear programming Finance and Financial Management Portfolio and Security Analysis
在線閱讀:	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
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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