Technical Note - Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization.
Jonathan Yu-Meng LiPublished in: Oper. Res. (2018)
Keyphrases
- risk measures
- portfolio optimization
- robust optimization
- worst case
- closed form solutions
- portfolio selection
- factor analysis
- problems involving
- optimization methods
- risk management
- lower bound
- stock price
- portfolio management
- non stationary
- stock market
- closed form
- stochastic programming
- stock exchange
- multi objective
- risk averse
- long term