Conditional value-at-risk in portfolio optimization: coherent but fragile
From MaRDI portal
Publication:635502
DOI10.1016/j.orl.2011.03.004zbMath1219.91130MaRDI QIDQ635502
Gah-Yi Vahn, J. George Shanthikumar, Andrew E. B. Lim
Publication date: 19 August 2011
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2011.03.004
portfolio optimization; mean-variance optimization; expected shortfall; conditional value-at-risk; coherent measures of risk; mean-CVaR optimization
91G70: Statistical methods; risk measures
90C90: Applications of mathematical programming
91G10: Portfolio theory
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