A Closed-Form Solution for Robust Portfolio Selection with Worst-Case CVaR Risk Measure
نویسندگان
چکیده
منابع مشابه
Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
Worst-case risk measures refer to the calculation of the largest value for risk measures when only partial information of the underlying distribution is available. For the popular risk measures such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR), it is now known that their worst-case counterparts can be evaluated in closed form when only the first two moments are known for the unde...
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ژورنال
عنوان ژورنال: Mathematical Problems in Engineering
سال: 2014
ISSN: 1024-123X,1563-5147
DOI: 10.1155/2014/494575