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]
@article{TongWQ09, title = {Worst-case CVaR based portfolio optimization models with applications to scenario planning}, author = {Xiaojiao Tong and Felix F. Wu and Liqun Qi}, year = {2009}, doi = {10.1080/10556780902865942}, url = {http://dx.doi.org/10.1080/10556780902865942}, researchr = {https://researchr.org/publication/TongWQ09}, cites = {0}, citedby = {0}, journal = {Optimization Methods and Software}, volume = {24}, number = {6}, pages = {933-958}, }