Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints

Maria Cristina Arcuri, Gino Gandolfi, Fabrizio Laurini. Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints. CEJOR, 31(2):557-581, June 2023. [doi]

Authors

Maria Cristina Arcuri

This author has not been identified. Look up 'Maria Cristina Arcuri' in Google

Gino Gandolfi

This author has not been identified. Look up 'Gino Gandolfi' in Google

Fabrizio Laurini

This author has not been identified. Look up 'Fabrizio Laurini' in Google