<i>CVaR</i> Robust Mean-<i>CVaR</i> Portfolio Optimization

<table>Compositions of robust mean-<svg height="11.75" id="M255" style="vertical-align:-0.23206pt" version="1.1" viewbox="0 0 44.275002 11.75" width="44.275002" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
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q-32 15 -73 15q-52 0 -83 -23q-48 -36 -78 -108.5t-30 -152.5q0 -33 8.5 -50.5t20.5 -17.5q31 0 107 79t99 132q15 40 29 126z" id="x1D44E"></path></g><g transform="matrix(.017,-0,0,-.017,33.261,11.4)"><path d="M627 18l-10 -26q-79 6 -116 27t-69 76q-41 71 -71 138q-13 29 -27.5 39t-42.5 10h-46l-27 -145q-13 -74 -2.5 -88.5t78.5 -20.5l-6 -28h-271l5 28q66 6 82.5 21.5t30.5 87.5l71 387q12 66 2 78.5t-77 19.5l8 28h233q102 0 147 -29q65 -43 65 -129q0 -69 -45.5 -117
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</svg> portfolio weights with ellipsoidal uncertainty set.</table>

International Scholarly Research Notices

CVaR Robust Mean-CVaR Portfolio Optimization

Figure 5