Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining … Copula-CVaR approach generates portfolios with better downside risk statistics for any rebalancing period and it is more …

We propose using the well-known conditional value at risk (CVaR) risk measure as a new methodology for incorporating … robustness into portfolio optimization. Robustness in portfolio optimization can address the poor out-of-sample performance of … the classical mean-variance optimization problems. Using many estimates of the covariance matrix and mean return vector …

We introduce a universal framework for mean-covariance robust risk measurement andportfolio optimization.We model … population distribution.Our approach is related to the theory of optimal transport and exhibits superior statistical … andcomputational properties than existing models. We find that, for a large class of risk measures,mean-covariance robust portfolio …