Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
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DOI: 10.1080/14697688.2018.1466057
Abstract: In this paper, we present a computationally tractable optimization method for a robust mean-CVaR portfolio selection model under the condition of distribution ambiguity. We develop an extension that allows the model to capture a zero… read more here.
Keywords: mean cvar; portfolio; robust mean; portfolio selection ... See more keywords
Taming Tail Risk: Regularized Multiple β Worst-Case CVaR Portfolio
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DOI: 10.3390/sym13060922
Abstract: The importance of proper tail risk management is a crucial component of the investment process and conditional Value at Risk (CVaR) is often used as a tail risk measure. CVaR is the asymmetric risk measure… read more here.
Keywords: risk; portfolio; tail risk; cvar portfolio ... See more keywords