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An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
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Affiliation of Author(s):数学科学学院

Journal:Mathematical Methods of Operations Research

Funded by:其他课题

Indexed by:Journal paper

Translation or Not:no

Date of Publication:2018-04-01

First Author:KZL

Co-author:李仲飞

Pre One : MEAN-CVAR PORTFOLIO SELECTION MODEL WITH AMBIGUITY IN DISTRIBUTION AND ATTITUDE

Next One : Data driven robust mean-CVaR portfolio selection under distribution ambiguity

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