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Omega-CVaR portfolio optimization and its worst case analysis - MaRDI portal

Omega-CVaR portfolio optimization and its worst case analysis (Q2362174)

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Omega-CVaR portfolio optimization and its worst case analysis
scientific article

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    title
    Omega-CVaR portfolio optimization and its worst case analysis (English)
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    author
    Amita Sharma
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    Sebastian Utz
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    Aparna Mehra
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    published in
    OR Spectrum
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    publication date
    6 July 2017
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    Mathematics Subject Classification ID
    91G70
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    90C05
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    91G10
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    zbMATH DE Number
    6740373
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    zbMATH Keywords
    omega ratio optimization
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    value-at-risk
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    conditional value-at-risk
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    robust portfolio optimization
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    asset allocation
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    describes a project that uses
    Tabu search
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    MCS
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    OpenAlex ID
    W2341705921
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    cites work
    Q3182207
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    Q3188607
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    Q4354785
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    Optimizing Omega
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    Q4457756
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    Q4495496
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    Q4830009
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