Cvar-Based Robust Models For Portfolio Selection

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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

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