Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures (Q2871416): Difference between revisions

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+Coherent Measures of Risk
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+Sparse and stable Markowitz portfolios
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+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
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+Common risk factors in the returns on stocks and bonds
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+Robust Portfolio Selection Problems
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+Minimizing loss probability bounds for portfolio selection
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+Portfolio optimization under lower partial risk measures
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+Conditional value-at-risk in portfolio optimization: coherent but fragile
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+Robust portfolio selection based on a joint ellipsoidal uncertainty set
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+Dual Stochastic Dominance and Related Mean-Risk Models
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+Large-Scale Portfolio Optimization
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+A robust approach based on conditional value-at-risk measure to statistical learning problems
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+Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
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