Login / Signup
Realized performance of robust portfolios: Worst-case Omega vs. CVaR-related models.
Jing-Rung Yu
Wan-Jiun Paul Chiou
Wen-Yi Lee
Tsao-Yuan Chuang
Published in:
Comput. Oper. Res. (2019)
Keyphrases
</>
worst case
probabilistic model
robust optimization
lower bound
portfolio selection
genetic algorithm
upper bound
metamodel
data sets
data mining
computational complexity
special case
parameter estimation
statistical methods