A closed-form solution for robust portfolio selection with worst-case CVaR risk measure

DOI10.1155/2014/494575zbMath1407.91237OpenAlexW2141366686WikidataQ59067839 ScholiaQ59067839MaRDI QIDQ1718537

Le Tang, Ai-Fan Ling

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/494575

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Related Items

Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse ⋮ An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution

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