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Article Dans Une Revue Applied Mathematics and Optimization Année : 2017

Closed-Form Optimal Portfolios of Distributionally Robust Mean-CVaR Problems with Unknown Mean and Variance

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hal-01776966 , version 1 (24-04-2018)

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Jia Liu, Zhiping Chen, Abdel Lisser, Zhujia Xu. Closed-Form Optimal Portfolios of Distributionally Robust Mean-CVaR Problems with Unknown Mean and Variance. Applied Mathematics and Optimization, 2017, ⟨10.1007/s00245-017-9452-y⟩. ⟨hal-01776966⟩
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