Omega-CVaR portfolio optimization and its worst case analysis.
Amita SharmaSebastian UtzAparna MehraPublished in: OR Spectr. (2017)
Keyphrases
- worst case analysis
- portfolio optimization
- portfolio selection
- robust optimization
- risk measures
- average case
- worst case
- portfolio management
- factor analysis
- np hardness
- stock market
- problems involving
- greedy heuristic
- risk management
- optimization methods
- risk averse
- stock exchange
- bi objective
- linear programming relaxation
- mathematical programming
- uniform distribution
- simulated annealing
- computational complexity
- upper bound
- np hard
- lower bound