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Showing 1 to 1 of 1 for “"Robust Optimization, Worst-case risk management, WCVAR, Basel III, BRIC, Portfolio management"”.
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Robust optimization for portfolio risk : a ravisit of worst-case risk management procedures after Basel III award.
… methodological and practical improvements on robust portfolio optimization procedures. Firstly, the thesis discusses the drawbacks of classical mean-variance optimization models, and examines robust portfolio optimization procedures with CVaR and worst-case CVaR risk models by providing a …