Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management

By Shushang Zhu, Masao Fukushima. Operational Research, 2009

558 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/462e57031778442772d45321dcee72fbf5637ace

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Shouyang Wang
2. Duan Li
3. Shushang Zhu

In Finance

1. Shouyang Wang
2. Duan Li
3. Shushang Zhu
4. Shaojian Qu
5. Ripeng Huang
6. Zhimin Liu
7. Xiaoguang Yang
8. Xun Yu Zhou

In Management Science and Operations Research

1. Shouyang Wang
2. Shushang Zhu
3. Duan Li
4. Shaojian Qu
5. Ripeng Huang
6. Virginie Gabrel
7. Zhimin Liu
8. Cécile Murat

Citations in the corpus

• Robust portfolio selection under downside risk measures (2009, methodology): “Zhu and Fukushima ( 2009 ) further investigated the worst-case CVaR risk measure with several structures of uncertainty in the underlying distribution, which has been later applied to a portfolio selection problem with an uncertain exit time (Huang et al .”
• Recent advances in robust optimization: An overview (2014, background): “Zhu and Fukushima (2009) and Zymler (2010) also study distri-”
• Multi-stage distributionally robust optimization with risk aversion (2021, background): “Since P is a compact set, χ(x,p, ζ) has the strong max-min property over the joint set P×R (see [13, 51] for the details).”