Omega-CVaR portfolio optimization and its worst case analysis
Year of publication: |
March 2017
|
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Authors: | Sharma, Amita ; Utz, Sebastian ; Mehra, Aparna |
Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 0171-6468, ZDB-ID 2073885-7. - Vol. 39.2017, 2, p. 505-539
|
Subject: | Omega ratio optimization | Value-at-risk | Conditional value-at-risk | Robust portfolio optimization | Asset allocation | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure |
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