Worst-case CVaR based portfolio optimization models with applications to scenario planning

DOI10.1080/10556780902865942zbMath1237.91208OpenAlexW1994085770MaRDI QIDQ5891577

Liqun Qi, Xiaojiao Tong, Felix F. Wu

Publication date: 16 May 2012

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556780902865942

zbMATH Keywords

portfolio optimizationmixture distributionconditional value-at-risk (CVaR)box discrete distributiongeneration assetworst-case CVaR (WCVaR)

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

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