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Jun 19, 2023 · In this paper, we focus on the portfolio selection problem to illustrate the challenge of the time-varying uncertainties and our solution framework.
Sep 1, 2023 · This paper models the nonstationarity by a regime-switching ambiguity set. In particular, we incorporate the time-varying feature of the stochastic environment.
Methodology/Results : This paper models the nonstationarity by a regime-switching ambiguity set. In particular, we incorporate the time-varying feature of the ...
The study delves into portfolio theory, discussing concepts such as expected return, variance, asset correlation, and opportunity sets. It also presents the ...
Data-Driven Distributionally Robust CVaR Portfolio Optimization Under Regime-Switching Ambiguity Set · Economics, Mathematics. Social Science Research Network.
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Jul 10, 2024 · In this paper, we present a computationally tractable optimization method for a robust mean-CVaR portfolio selection model under the ...
The ambiguity set resides within a space of probability distributions and is chosen to be a ball of radius ϵ centered at P ^ N . The metric of choice is the ...
Missing: Regime- | Show results with:Regime-
Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A Regime-Switching Ambiguity Set [Code] Chi Seng Pun, Tianyu Wang, Zhenzhen Yan ...
Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A Regime-Switching Ambiguity Set. CS Pun, T Wang, Z Yan. Manufacturing & Service ...
Jun 15, 2023 · We investigate the robust chance constrained optimization problem (RCCOP), which is a combination of the distributionally robust optimization (DRO) and the ...
Missing: Regime- Switching