We define and compare robust and non-robust versions of Vol-VaR - and CVaR portfolio selection models showing that robust CVaR is coherent, easy implementable and the most efficient.
Robust Portfolio Management
QUARANTA, ANNA GRAZIA
2008-01-01
Abstract
We define and compare robust and non-robust versions of Vol-VaR - and CVaR portfolio selection models showing that robust CVaR is coherent, easy implementable and the most efficient.File in questo prodotto:
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