Omega-CVaR Portfolio Optimization and Its Worst Case Analysis
Sharma, Amita, Utz, Sebastian and Mehra, Aparna (2017) Omega-CVaR Portfolio Optimization and Its Worst Case Analysis. OR Spectrum 39 (2), pp. 505-539.Date of publication of this fulltext: 27 Sep 2016 10:08
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| Item type | Article | ||||
| Journal or Publication Title | OR Spectrum | ||||
| Publisher: | Springer | ||||
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| Place of Publication: | NEW YORK | ||||
| Volume: | 39 | ||||
| Number of Issue or Book Chapter: | 2 | ||||
| Page Range: | pp. 505-539 | ||||
| Date | 16 February 2017 | ||||
| Institutions | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) | ||||
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| Keywords | ROBUST OPTIMIZATION; INDEX TRACKING; RISK; SELECTION; MODELS; PERFORMANCE; SHARPE; RATIO; Omega ratio optimization; Value-at-risk; Conditional value-at-risk; Robust portfolio optimization; Asset allocation | ||||
| Dewey Decimal Classification | 300 Social sciences > 330 Economics | ||||
| Status | Published | ||||
| Refereed | Yes, this version has been refereed | ||||
| Created at the University of Regensburg | Partially | ||||
| Item ID | 34635 |
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