CVaR models with selective hedging for international asset allocation

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Asset Allocation with Conditional Value-at-Risk Budgets (2013, unknown): “This is a common choice in practical portfolio optimizations, as mentioned, for example, by Keel and Ardia (2011) and Topaloglou et al (2002).”
Evaluation of scenario-generation methods for stochastic programming (2007, methodology): “Another problem with the tensor-product approach is how to get correlated random vectors – a common approach ([25, 14, 34]) is to find the principal components (which are independent by definition) and sample those, instead of the original random variables.”
Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009, unknown): “x ∈ X , (32) α + 1 1− β ( π )T u + 1 1− β ( η ξ + η ω ) ≤ θ, (33) ez + ξ + ω = u, (34) ξ ≥ 0, ω ≤ 0, (35) uk ≥ f(x,y[k])− α, k = 1, · · · , S, (36) uk ≥ 0, k = 1, · · · , S.”
Stability analysis of portfolio management with conditional value-at-risk (2007, methodology): “CVaR of portfolio returns and impose a minimal target on expected return, as is done in Topaloglou et al. (2002). We chose this formulation as it is more natural to interpret the impact of estimation errors in stochastic”