Worst-case CVaR based portfolio optimization models with applications to scenario planning

Published 2009 View Full Article

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Title
Worst-case CVaR based portfolio optimization models with applications to scenario planning
Authors
Keywords
-
Journal
OPTIMIZATION METHODS & SOFTWARE
Volume 24, Issue 6, Pages 933-958
Publisher
Informa UK Limited
Online
2009-04-03
DOI
10.1080/10556780902865942

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