Amita Sharma, Sebastian Utz, Aparna Mehra. Omega-CVaR portfolio optimization and its worst case analysis. OR Spectrum, 39(2):505-539, 2017. [doi]
@article{SharmaUM17,
title = {Omega-CVaR portfolio optimization and its worst case analysis},
author = {Amita Sharma and Sebastian Utz and Aparna Mehra},
year = {2017},
doi = {10.1007/s00291-016-0462-y},
url = {https://doi.org/10.1007/s00291-016-0462-y},
researchr = {https://researchr.org/publication/SharmaUM17},
cites = {0},
citedby = {0},
journal = {OR Spectrum},
volume = {39},
number = {2},
pages = {505-539},
}