Mahnaz Manteqipour. Incorporating statistical distribution in loss and gain functions in CVaR robust mean-variance portfolios. In Proceedings of the 2012 IEEE Conference on Computational Intelligence for Financial Engineering & Economics, CIFEr 2012, New York City, NY, USA, March 29-30, 2012. pages 1-5, IEEE, 2012. [doi]
Abstract is missing.