Robust and reliable portfolio optimization formulation of a chance constrained problem
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Publication:2360112
DOI10.1515/fcds-2017-0004zbMath1366.91145MaRDI QIDQ2360112
Publication date: 26 June 2017
Published in: Foundations of Computing and Decision Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/fcds-2017-0004
investment analysis; robust optimization; extreme value distribution; risk management; conditional value at risk (CVaR)
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