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Foundations of Computing and Decision Sciences
Volume 42 (2017): Issue 1 (February 2017)
Open Access
Robust and Reliable Portfolio Optimization Formulation of a Chance Constrained Problem
Raghu Nandan Sengupta
Raghu Nandan Sengupta
and
Rakesh Kumar
Rakesh Kumar
| Mar 04, 2017
Foundations of Computing and Decision Sciences
Volume 42 (2017): Issue 1 (February 2017)
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Published Online:
Mar 04, 2017
Page range:
83 - 117
Received:
May 31, 2015
Accepted:
Jan 23, 2016
DOI:
https://doi.org/10.1515/fcds-2017-0004
Keywords
Risk Management
,
Investment Analysis
,
Robust Optimization
,
Conditional Value at Risk (CVaR)
,
Extreme Value Distribution
© 2017 Raghu Nandan Sengupta et al., published by De Gruyter Open
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.