Worst-Case Higher Moment Coherent Risk Based on Optimal Transport with Application to Distributionally Robust Portfolio Optimization
The tail risk management is of great significance in the investment process. As an extension of the asymmetric tail risk measure—Conditional Value at Risk (CVaR), higher moment coherent risk (HMCR) is compatible with the higher moment information (skewness and kurtosis) of probability distribution o...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-01-01
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| Series: | Symmetry |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2073-8994/14/1/138 |