Conditional value-at-risk in portfolio optimization: Coherent but fragile

Journal

Operations Research Letters

Subject

Management Science and Operations

Authors / Editors

Lim A E B; Shanthikumar G J; Ban G-Y

Biographies

Publication Year

2011

Keywords

Portfolio optimization; Conditional value-at-risk; Expected shortfall; Coherent measures of risk; Mean-CVaR optimization; Mean-variance optimization