A relative robust approach on expected returns with bounded CVaR for portfolio selection.
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Title
A relative robust approach on expected returns with bounded CVaR for portfolio selection.
Authors
Keywords
Investment analysis, Conditional value-at-risk, Minmax regret models
Journal
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
Volume -, Issue -, Pages -
Publisher
Elsevier BV
Online
2021-04-29
DOI
10.1016/j.ejor.2021.04.038
References
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