| Closed-Form Optimal Portfolios of Distributionally Robust Mean-CVaR Problems with Unknown Mean and Variance | |
| Liu, Jia; Chen, Zhiping; Lisser, Abdel; Xu, Zhujia | |
| 刊名 | Applied Mathematics and Optimization
 |
| 2017 | |
| 页码 | 1-23 |
| 关键词 | Closed form solutions Conditional Value-at-Risk Portfolio selection Risk measures Robust optimization |
| ISSN号 | 0095-4616 |
| URL标识 | 查看原文 |
| 内容类型 | 期刊论文 |
| URI标识 | http://www.corc.org.cn/handle/1471x/2946265 |
| 专题 | 西安交通大学 |
| 推荐引用方式 GB/T 7714 | Liu, Jia,Chen, Zhiping,Lisser, Abdel,et al. Closed-Form Optimal Portfolios of Distributionally Robust Mean-CVaR Problems with Unknown Mean and Variance[J]. Applied Mathematics and Optimization,2017:1-23. |
| APA | Liu, Jia,Chen, Zhiping,Lisser, Abdel,&Xu, Zhujia.(2017).Closed-Form Optimal Portfolios of Distributionally Robust Mean-CVaR Problems with Unknown Mean and Variance.Applied Mathematics and Optimization,1-23. |
| MLA | Liu, Jia,et al."Closed-Form Optimal Portfolios of Distributionally Robust Mean-CVaR Problems with Unknown Mean and Variance".Applied Mathematics and Optimization (2017):1-23. |
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