Conditional value-at-risk in portfolio optimization: Coherent but fragile.

Andrew E. B. Lim J. George Shanthikumar Gah-Yi Vahn

Published in: Oper. Res. Lett. (2011)

Keyphrases

portfolio optimization
portfolio management
portfolio selection
problems involving
risk management
factor analysis
robust optimization
stock market
bi objective
optimization methods
stock price
stock exchange
long term