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]
@article{YuCLC19,
title = {Realized performance of robust portfolios: Worst-case Omega vs. CVaR-related models},
author = {Jing-Rung Yu and Wan-Jiun Paul Chiou and Wen-Yi Lee and Tsao-Yuan Chuang},
year = {2019},
doi = {10.1016/j.cor.2018.12.004},
url = {https://doi.org/10.1016/j.cor.2018.12.004},
researchr = {https://researchr.org/publication/YuCLC19},
cites = {0},
citedby = {0},
journal = {Computers & OR},
volume = {104},
pages = {239-255},
}