RM-CVaR: Regularized Multiple β-CVaR Portfolio.

Kei Nakagawa Shuhei Noma Masaya Abe

Published in: IJCAI (2020)

Keyphrases

portfolio selection
risk measures
nonparametric estimation
robust optimization
portfolio optimization
empirically derived
portfolio management
risk averse
decision making
finite element
neural network
case study
combining multiple
decision theoretic