Realized performance of robust portfolios: Worst-case Omega vs. CVaR-related models

Jing-Rung Yu, Wan-Jiun Paul Chiou, Wen-Yi Lee, Tsao-Yuan Chuang. Realized performance of robust portfolios: Worst-case Omega vs. CVaR-related models. Computers & OR, 104:239-255, 2019. [doi]

Authors

Jing-Rung Yu

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Wan-Jiun Paul Chiou

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Wen-Yi Lee

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Tsao-Yuan Chuang

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