Robust portfolio optimization with copulas

•We provide the copula formulation for Value at Risk.•We extend Value at Risk to Conditional Value at Risk for copulas.•Linear optimization problem for Worst Case Conditional Value at Risk with copulas.•Numerical applications in portfolio optimization of stock markets. Conditional Value at Risk (CVa...

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Veröffentlicht in:	European journal of operational research 2014-05, Vol.235 (1), p.28-37
Hauptverfasser:	Kakouris, Iakovos, Rustem, Berç
Format:	Artikel
Sprache:	eng
Schlagworte:	Comparative studies Convex programming Copulas Empirical analysis Gaussian Mathematical models Mathematical problems Normal distribution Operational research Operations research Optimization Probability distribution Risk Risk assessment Robust optimization
Online-Zugang:	Volltext
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