CVaR robust mean-CVaR portfolio optimization

DOI10.1155/2013/570950zbMATH Open1298.91148OpenAlexW2004061781WikidataQ58997711 ScholiaQ58997711MaRDI QIDQ469842FDOQ469842

Farshid Mehrdoust, Farzaneh Piri, Maziar Salahi

Publication date: 11 November 2014

Published in: ISRN Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/570950

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Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• Computing efficient frontiers using estimated parameters
• Robust asset allocation

Cited In (8)

• Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
• Robust optimization of mixed CVaR STARR ratio using copulas
• Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
• Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models
• CONIC CVA AND DVA FOR OPTION PORTFOLIOS
• Mean-variance-CVaR model of multiportfolio optimization via linear weighted sum method
• Capital asset pricing model under distribution uncertainty
• Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation

Uses Software

• CVX

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