The regularization aspect of optimal-robust conditional value-at-risk portfolios

DOI10.1007/978-3-642-29210-1_28MaRDI QIDQ5176294zbMATH OpenOpenAlexFDO

Authors Apostolos Fertis, Michel Baes, Hans-Jakob Lüthi

Publication date 3 March 2015

Published in Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-29210-1_28

Mathematics Subject Classification ID

Portfolio theory (91G10)

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• The effect of regularization in portfolio selection problems

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