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Quantitative Finance Volume 19, 2019 - Issue 1
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Research Papers

Data-driven robust mean-CVaR portfolio selection under distribution ambiguity

Zhilin KangSchool of Mathematical Sciences, Huaqiao University, Fujian, 362021P.R. China.;School of Mathematics, Sun Yat-sen University, Guangzhou, 510275P.R. China.View further author information
,
Xun LiDepartment of Applied Mathematics, The Hong Kong Polytechnic University, .View further author information
,
Zhongfei LiSun Yat-sen Business School, Sun Yat-sen University, Guangzhou, 510275P.R. China.Correspondence[email protected]
View further author information
&
Shushang ZhuSun Yat-sen Business School, Sun Yat-sen University, Guangzhou, 510275P.R. China.View further author information
Pages 105-121 | Received 05 Jun 2017, Accepted 30 Mar 2018, Published online: 11 Jun 2018

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