作者: Ruanmin Cao
DOI:
关键词: Modern portfolio theory 、 Tail risk 、 Economics 、 Mathematical optimization 、 Portfolio optimization 、 Post-modern portfolio theory 、 Spectral risk measure 、 Portfolio 、 Replicating portfolio 、 Actuarial science 、 Diversification (finance)
摘要: Portfolio optimization in an uncertain environment has great practical value in investment decision process. But this area is highly fragmented due to fast evolution of market structure …