Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
| Year of publication: |
2009
|
|---|---|
| Authors: | Zhu, Shushang ; Fukushima, Masao |
| Published in: |
Operations research : the journal of the Operations Research Society of America. - Linthicum, Md : INFORMS, ISSN 0030-364X, ZDB-ID 1233890. - Vol. 57.2009, 5, p. 1155-1168
|