| Robust conditional value-at-risk optimization for asymmetrically distributed asset returns (PJO) |
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Volume 8
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Number 3
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pp.429-445
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| Robust conditional value-at-risk optimization for asymmetrically distributed asset returns |
| Zhifeng Dai, Donghui Li and Fenghua Wen |
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Mathematices Subject Classification |
| portfolio optimization, conditional value at risk (CVaR), robust optimization, linear programming (LP), second-order cone programming (SOCP) |
90C90, 91G10, 62P05 |
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| Copyright© 2012 Yokohama Publishers |
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