Robust international portfolio optimization with worst-case mean-CVaR.

Fei Luan Weiguo Zhang Yongjun Liu

Published in: Eur. J. Oper. Res. (2022)

Keyphrases

portfolio optimization
robust optimization
portfolio selection
worst case
risk measures
problems involving
portfolio management
mathematical programming
factor analysis
stock market
optimization methods
risk management
stock price
greedy algorithm
bi objective