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Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach

Guo, SY; Xu, HF

Guo, SY (corresponding author), Dalian Univ Technol, Sch Math Sci, Dalian 116024, Peoples R China.

MATHEMATICAL PROGRAMMING, ; ():

Abstract

Choice of a risk measure for quantifying risk of an investment portfolio depends on the decision maker's risk preference. In this paper, we consider t......

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