Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A Regime-Switching Ambiguity Set

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Chi Seng Pun, Tianyu Wang, Zhenzhen Yan

Published: 01 Jan 2023, Last Modified: 01 Oct 2024Manuf. Serv. Oper. Manag. 2023EveryoneRevisionsBibTeXCC BY-SA 4.0