CVaR robust mean-CVaR portfolio optimization

DOI10.1155/2013/570950zbMath1298.91148OpenAlexW2004061781WikidataQ58997711 ScholiaQ58997711MaRDI QIDQ469842

Farshid Mehrdoust, Farzaneh Piri, Maziar Salahi

Publication date: 11 November 2014

Published in: ISRN Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/570950

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (3)

Capital asset pricing model under distribution uncertainty ⋮ Data-driven robust mean-CVaR portfolio selection under distribution ambiguity ⋮ Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models

Uses Software

• CVX

Cites Work

• Computing efficient frontiers using estimated parameters
• Robust asset allocation

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