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Portfolio selection under distributional uncertainty: A relative robust CVaR approach.
Dashan Huang
Shushang Zhu
Frank J. Fabozzi
Masao Fukushima
Published in:
Eur. J. Oper. Res. (2010)
Keyphrases
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portfolio selection
robust optimization
portfolio optimization
mathematical programming
multistage stochastic
risk measures
optimal portfolio
stochastic programming
portfolio management
decision theory
co occurrence
semidefinite programming
financial markets
lot sizing
bayesian networks
transaction costs