2012
DOI: 10.1007/978-3-642-29210-1_28
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The Regularization Aspect of Optimal-Robust Conditional Value-at-Risk Portfolios

Abstract: In portfolio management, Robust Conditional Value -at -Risk (Robust CVaR) has been proposed to deal with structured uncertainty in the estimation of the assets probability distribution. Meanwhile, regularization in portfolio optimization has been investigated as a way to construct portfolios that show satisfactory out-ofsample performance under estimation error. In this paper, we prove that optimalRobust CVaR portfolios possess the regularization property. Based on expected utility theory concepts, we explicit… Show more

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