Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models
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Publication:1725616
DOI10.1016/j.cor.2018.12.004zbMath1458.91201OpenAlexW2902974788WikidataQ128842539 ScholiaQ128842539MaRDI QIDQ1725616
Tsao-Yuan Chuang, Wan-Jiun Paul Chiou, Wen-Yi Lee, Jing-Rung Yu
Publication date: 14 February 2019
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2018.12.004
transaction costsshort sellingrelative robust conditional value-at-riskrobust portfoliosworst-case Omega model
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Uses Software
Cites Work
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