Robustness of optimal portfolios under risk and stochastic dominance constraints
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- Balbás, Alejandro & Balbás, Raquel & Balbás, Beatriz, 2016. "VaR as the CVaR sensitivity : applications in risk optimization," INDEM - Working Paper Business Economic Series id-16-01, Instituto para el Desarrollo Empresarial (INDEM).
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More about this item
KeywordsRobustness and sensitivity analysis; Markowitz mean–variance model; Probabilistic risk constraints; Contamination technique; First order stochastic dominance constraints; Portfolio efficiency tests;
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