"Worst-case CVaR based portfolio optimization models with applications to ..."

Xiaojiao Tong, Felix F. Wu, Liqun Qi (2009)

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DOI: 10.1080/10556780902865942

access: closed

type: Journal Article

metadata version: 2020-09-24

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Xiaojiao Tong, Felix F. Wu, Liqun Qi:
Worst-case CVaR based portfolio optimization models with applications to scenario planning. Optim. Methods Softw. 24(6): 933-958 (2009)

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