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Distributionally Robust Portfolio Optimization under Marginal and Copula Ambiguity.

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Title: Distributionally Robust Portfolio Optimization under Marginal and Copula Ambiguity.
Authors: Fan, Zhengyang1, zfan3@gmu.edu, Ji, Ran1, rji2@gmu.edu, Lejeune, Miguel A.2, mlejeune@gwu.edu
Source: Journal of Optimization Theory & Applications; Dec2024, Vol. 203 Issue 3, p2870-2907, 38p
Database: Applied Science & Technology Source
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Header DbId: aci
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An: 181515989
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PubType: Academic Journal
PubTypeId: academicJournal
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  Data: Distributionally Robust Portfolio Optimization under Marginal and Copula Ambiguity.
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  Data: <searchLink fieldCode="AU" term="%22Fan%2C+Zhengyang%22">Fan, Zhengyang</searchLink><relatesTo>1</relatesTo>, <i>zfan3@gmu.edu</i><br /><searchLink fieldCode="AU" term="%22Ji%2C+Ran%22">Ji, Ran</searchLink><relatesTo>1</relatesTo>, <i>rji2@gmu.edu</i><br /><searchLink fieldCode="AU" term="%22Lejeune%2C+Miguel+A%2E%22">Lejeune, Miguel A.</searchLink><relatesTo>2</relatesTo>, <i>mlejeune@gwu.edu</i>
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  Data: <searchLink fieldCode="JN" term="%22Journal+of+Optimization+Theory+%26+Applications%22">Journal of Optimization Theory & Applications</searchLink>; Dec2024, Vol. 203 Issue 3, p2870-2907, 38p
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RecordInfo BibRecord:
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      – Type: doi
        Value: 10.1007/s10957-024-02550-y
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      – Code: eng
        Text: English
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        PageCount: 38
        StartPage: 2870
    Titles:
      – TitleFull: Distributionally Robust Portfolio Optimization under Marginal and Copula Ambiguity.
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            NameFull: Fan, Zhengyang
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            NameFull: Ji, Ran
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            NameFull: Lejeune, Miguel A.
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            – D: 01
              M: 12
              Text: Dec2024
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              Y: 2024
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              Value: 203
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