Robust international portfolio optimization with worst-case mean-CVaR

DOI10.1016/j.ejor.2022.03.011OpenAlexW4221081792MaRDI QIDQ2158047

Yong-Jun Liu, Fei Luan, Wei-Guo Zhang

Publication date: 22 July 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2022.03.011

zbMATH Keywords

robust optimizationrisk managementinternational portfolio optimizationintervals of deviations from the no-arbitrage conditionrisk adjusted return measureworst-case mean-CVaR

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

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