Karoui, Noureddine El; Lim, Andrew E. B.; Vahn, Gah-Yi - arXiv.org - 2011
We introduce performance-based regularization (PBR), a new approach to addressing estimation risk in data-driven optimization, to mean-CVaR portfolio optimization. We assume the available log-return data is iid, and detail the approach for two cases: nonparametric and parametric (the log-return...