Robust and reliable portfolio optimization formulation of a chance constrained problem (Q2360112)
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scientific article; zbMATH DE number 6735370
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| English | Robust and reliable portfolio optimization formulation of a chance constrained problem |
scientific article; zbMATH DE number 6735370 |
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Robust and reliable portfolio optimization formulation of a chance constrained problem (English)
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26 June 2017
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risk management
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investment analysis
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robust optimization
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conditional value at risk (CVaR)
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extreme value distribution
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0.7886748313903809
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0.7880235314369202
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0.7863534092903137
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0.7824514508247375
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0.7718237042427063
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