Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models (Q1725616)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models |
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Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models (English)
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14 February 2019
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robust portfolios
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worst-case Omega model
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relative robust conditional value-at-risk
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short selling
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transaction costs
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