| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 6898283 | European Journal of Operational Research | 2012 | 10 Pages |
Abstract
⺠We define a robust risk measure with reference to a family of nominal risk measures. ⺠We define Robust CVaR, show how to compute it and how to compute optimal portfolios. ⺠We define the robust entropy-based risks and compute them using convex optimization. ⺠We compare the performance of the Robust CVaR-optimal and CVaR-optimal portfolios.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Apostolos Fertis, Michel Baes, Hans-Jakob Lüthi,