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Worst-case CVaR based portfolio optimization models with applications to scenario planning.

Xiaojiao TongFelix F. WuLiqun Qi
Published in: Optim. Methods Softw. (2009)
Keyphrases
  • portfolio optimization
  • worst case
  • portfolio selection
  • risk measures
  • problems involving
  • portfolio management
  • expert systems
  • upper bound
  • linear programming
  • differential evolution
  • factor analysis
  • bi objective