Nguyen, Viet Anh; Shafieezadeh-Abadeh, Soroosh; … - 2021
We introduce a universal framework for mean-covariance robust risk measurement andportfolio optimization.We model … andcomputational properties than existing models. We find that, for a large class of risk measures,mean-covariance robust portfolio … standards, value-at-risk and conditional value-at-risk, and can be solved highly efficiently …