Taming Tail Risk: Regularized Multiple β Worst-Case CVaR Portfolio.

Kei Nakagawa Katsuya Ito

Published in: Symmetry (2021)

Keyphrases

worst case
portfolio optimization
portfolio selection
risk measures
decision making
portfolio management
risk averse
least squares
average case
optimal portfolio
upper bound
multi objective
risk assessment
risk analysis
error bounds
np hard
objective function
data mining