Robust Portfolio Management
Abstract
En
We define and compare robust and non-robust versions of Vol-VaR- and CVaR-portfolio selection models showing that robust CVaR is coherent, easy implementable and the most efficient.
We define and compare robust and non-robust versions of Vol-VaR- and CVaR-portfolio selection models showing that robust CVaR is coherent, easy implementable and the most efficient.
DOI Code:
�
Keywords:
Portfolio Selection; Robust optimization; Value at Risk; Conditional Value at Risk
Full Text: PDF
