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Realized performance of robust portfolios: Worst-case Omega vs. CVaR-related models
Yu, Jing-Rung, Chiou, Wan-Jiun Paul, Lee, Wen-Yi, Chuang, Tsao-YuanLanguage:
english
Journal:
Computers & Operations Research
DOI:
10.1016/j.cor.2018.12.004
Date:
December, 2018
File:
PDF, 1.55 MB
english, 2018