Robust international portfolio optimization with worst‐case mean‐CVaR

Fei Luan, Weiguo Zhang, Yongjun Liu

Year of publication:	2022
Authors:	Luan, Fei ; Zhang, Weiguo ; Liu, Yongjun
Published in:	European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 303.2022, 2 (1.12.), p. 877-890
Subject:	International portfolio optimization \| Intervals of deviations from the No-arbitrage condition \| Risk adjusted return measure \| Risk management \| Robust optimization \| Worst-case mean-CVaR \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Risikomanagement \| Mathematische Optimierung \| Mathematical programming \| Robustes Verfahren \| Robust statistics \| Portfolio-Investition \| Foreign portfolio investment

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