Robust Portfolio Management
Abstract
En
We define and compare robust and non-robust versions of Vol-VaR- and CVaR-portfolio selection models showing that robust CVaR is coherent, easy implementable and the most efficient.
We define and compare robust and non-robust versions of Vol-VaR- and CVaR-portfolio selection models showing that robust CVaR is coherent, easy implementable and the most efficient.
DOI Code:
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Keywords:
Portfolio Selection; Robust optimization; Value at Risk; Conditional Value at Risk
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