Roman, Diana; Darby-Dowman, Kenneth; Mitra, Gautam - In: Quantitative Finance 7 (2007) 4, pp. 443-458
This paper proposes a model for portfolio optimization, in which distributions are characterized and compared on the basis of three statistics: the expected value, the variance and the CVaR at a specified confidence level. The problem is multi-objective and transformed into a single objective...