SMEAL WIKI

Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A Regime-Switching Ambiguity Set

Chi Seng Pun, Tianyu Wang, Zhenzhen Yan
Year2023
VenueManufacturing & Service Operations Management
Typearticle
Citations13
DOI10.1287/msom.2023.1229
OpenAlexW4381190584

Topics

Risk and Portfolio OptimizationPortfolioPortfolio optimizationAmbiguityComputer scienceEconometrics