Omega-CVaR portfolio optimization and its worst case analysis
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Publication:2362174
DOI10.1007/s00291-016-0462-yzbMath1367.91203OpenAlexW2341705921MaRDI QIDQ2362174
Amita Sharma, Aparna Mehra, Sebastian Utz
Publication date: 6 July 2017
Published in: OR Spectrum (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00291-016-0462-y
value-at-riskconditional value-at-riskasset allocationrobust portfolio optimizationomega ratio optimization
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Cites Work
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