Open AccessMean-CVaR portfolio selection model with ambiguity in distribution and attitude
Author(s) -
Zhilin Kang,
Xingyi Li,
Zhongfei Li
Publication year - 2019
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2019094
Subject(s) - cvar , ambiguity , portfolio , expected shortfall , portfolio optimization , ambiguity aversion , econometrics , efficient frontier , mathematical optimization , economics , constraint (computer aided design) , investment strategy , mathematics , computer science , financial economics , microeconomics , profit (economics) , geometry , programming language
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