Realized performance of robust portfolios : worst-case Omega vs. CVaR-related models
Jing-Rung Yu, Wan-Jiun Paul Chiou, Wen-Yi Lee, Tsao-Yuan Chuang
| Year of publication: |
2019
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|---|---|
| Authors: | Yu, Jing-Rung ; Chiou, Wan-jiun Paul ; Lee, Wen-Yi ; Chuang, Tsao-Yuan |
| Published in: |
Computers & operations research : and their applications to problems of world concern ; an international journal. - Oxford [u.a.] : Elsevier, ISSN 0305-0548, ZDB-ID 194012-0. - Vol. 104.2019, p. 239-255
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| Subject: | Robust portfolios | Worst-case Omega model | Relative robust conditional value-at-risk | Short selling | Transaction costs | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Transaktionskosten | Theorie | Theory | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.cor.2018.12.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011991228