Performance-based regularization in mean-CVaR portfolio optimization
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- Jun-Ya Gotoh & Keita Shinozaki & Akiko Takeda, 2013. "Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures," Quantitative Finance, Taylor & Francis Journals, vol. 13(10), pages 1621-1635, October.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-14 (All new papers)
- NEP-ECM-2011-11-14 (Econometrics)
- NEP-ORE-2011-11-14 (Operations Research)
- NEP-RMG-2011-11-14 (Risk Management)
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