Robust optimization of conditional value at risk and portfolio selection

Journal of Banking and Finance

Volumn 32, Issue 10, 2008, Pages 2046-2056

  Quaranta, Anna Grazia ^a,b   Zaffaroni, Alberto ^a,b  

^a UNIVERSITY OF CAMERINO   (Italy)

^b UNIVERSITY OF SALENTO   (Italy)

Author keywords

Coherent risk measures; Conditional value at risk; Robust optimization

Indexed keywords

EID: 51349124944     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.12.025     Document Type: Article

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