The Regularization Aspect of Optimal-Robust Conditional Value-at-Risk Portfolios

DOI10.1007/978-3-642-29210-1_28zbMath1306.91124OpenAlexW128703390MaRDI QIDQ5176294

Hans-Jakob Lüthi, Michel Baes, Apostolos Fertis

Publication date: 3 March 2015

Published in: Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-29210-1_28

Mathematics Subject Classification ID

Portfolio theory (91G10)

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