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- W1973054397 abstract "This paper proposed a robust portfolio model, using CDaR to measure portfolio risk. Due to uncertainty parameter, we constructed ellipsoidal uncertainty set as the parameters uncertainty set to maximize the portfolio return. We verified the operable of the model with numerical simulation. The result shows that the risk is higher compared to without robust case, which is helpful to cautious investment for investors." @default.
- W1973054397 created "2016-06-24" @default.
- W1973054397 creator A5046005183 @default.
- W1973054397 date "2012-01-01" @default.
- W1973054397 modified "2023-10-18" @default.
- W1973054397 title "The Optimal Robust Portfolio Model Based on CDaR" @default.
- W1973054397 doi "https://doi.org/10.2991/iccia.2012.220" @default.
- W1973054397 hasPublicationYear "2012" @default.
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