Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models (Q1725616)
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scientific article; zbMATH DE number 7023710
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| English | Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models |
scientific article; zbMATH DE number 7023710 |
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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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0.8704076409339905
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0.8071081638336182
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0.7667019367218018
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0.7649568915367126
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0.7635519504547119
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