Conditional value-at-risk in portfolio optimization: coherent but fragile

DOI10.1016/j.orl.2011.03.004zbMath1219.91130OpenAlexW2016139756MaRDI QIDQ635502

Gah-Yi Vahn, J. George Shanthikumar, Andrew E. B. Lim

Publication date: 19 August 2011

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

Full work available at URL: https://doi.org/10.1016/j.orl.2011.03.004

zbMATH Keywords

portfolio optimizationmean-variance optimizationexpected shortfallconditional value-at-riskcoherent measures of riskmean-CVaR optimization

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of mathematical programming (90C90) Portfolio theory (91G10)

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