Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models
type: Item
instance of: scholarly article
title: Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models
zbMATH Open document ID: 1458.91201
author: Jing-Rung Yu
author: Wan-Jiun Paul Chiou
author: Wen-Yi Lee
author: Tsao-Yuan Chuang
published in: Computers \& Operations Research
publication date: 2019-02-14T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7023710
zbMATH Keywords: robust portfolios
zbMATH Keywords: worst-case Omega model
zbMATH Keywords: relative robust conditional value-at-risk
zbMATH Keywords: short selling
zbMATH Keywords: transaction costs
describes a project that uses: LINDO
describes a project that uses: LINGO
MaRDI profile type: Publication
full work available at URL: j.cor.2018.12.004
OpenAlex ID: W2902974788
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Wikidata QID: Q128842539
DOI: 10.1016/J.COR.2018.12.004
description: scientific article; zbMATH DE number 7023710