Cvar-Based Robust Models For Portfolio Selection

Cvar-Based Robust Models For Portfolio Selection

This study relaxes the distributional assumption of the return of the risky asset, to arrive at the optimal portfolio. Studies of portfolio selection models have typically assumed that stock returns conform to the normal distribution. The application of robust optimization techniques means that only...

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Bibliographic Details
Main Authors: Sun, Y., Aw, E.L.G., Li, Bin, Teo, Kok Lay, Sun, Jie
Format: Journal Article
Language:English
Published: AMER INST MATHEMATICAL SCIENCES-AIMS 2020
Subjects:
Science & Technology
Technology
Physical Sciences
Engineering, Multidisciplinary
Operations Research & Management Science
Mathematics, Interdisciplinary Applications
Engineering
Mathematics
Portfolio optimization
risk measure
CVaR
distributionally robust optimization
conic optimization
OPTIMIZATION
Online Access:http://hdl.handle.net/20.500.11937/91432

Internet

http://hdl.handle.net/20.500.11937/91432

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