Worst-case CVaR based portfolio optimization models with applications to scenario planning

Xiaojiao Tong, Felix F. Wu, Liqun Qi. Worst-case CVaR based portfolio optimization models with applications to scenario planning. Optimization Methods and Software, 24(6):933-958, 2009. [doi]

Authors

Xiaojiao Tong

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Felix F. Wu

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Liqun Qi

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