Closed-Form Optimal Portfolios of Distributionally Robust Mean-CVaR Problems with Unknown Mean and Variance
LISSER, Abdel ; Liu, Jia ; Chen, Zhiping ; Lisser, Abdel ; Xu, Zhujia
HAL, hal-01776966 / Harvested from HAL
Text on HAL
International audience
Publié le : 2017-10-13
Classification:  [INFO.INFO-RO]Computer Science [cs]/Operations Research [cs.RO],  [MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC] 
@article{hal-01776966,
     author = {LISSER, Abdel and Liu, Jia and Chen, Zhiping and Lisser, Abdel and Xu, Zhujia},
     title = {Closed-Form Optimal Portfolios of Distributionally Robust Mean-CVaR Problems with Unknown Mean and Variance},
     journal = {HAL},
     volume = {2017},
     number = {0},
     year = {2017},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-01776966}
}

LISSER, Abdel; Liu, Jia; Chen, Zhiping; Lisser, Abdel; Xu, Zhujia. Closed-Form Optimal Portfolios of Distributionally Robust Mean-CVaR Problems with Unknown Mean and Variance. HAL, Tome 2017 (2017) no. 0, . http://gdmltest.u-ga.fr/item/hal-01776966/