CVaR Robust Mean-CVaR Portfolio Optimization

Table 2

Covariance matrix 𝑄.

0.01×	S1	S2	S3	S4	S5	S6	S7	S8
S1	0.0980
S2	0.0659	0.1549
S3	0.0714	0.0911	0.2738
S4	0.0105	0.0058	−0.0062	0.0097
S5	0.0058	0.0379	−0.0116	0.0082	0.0461
S6	−0.0236	−0.0260	0.0083	−0.0215	−0.0315	0.2691
S7	−0.0164	0.0079	0.0059	−0.0003	0.0076	−0.0080	0.0925
S8	0.0004	−0.0248	0.0077	−0.0026	−0.0304	0.0159	−0.0095	0.0245