CVaR Robust Mean-CVaR Portfolio Optimization

Table 1

Mean return vector 𝜇.

0.01×	S1	S2	S3	S4	S5	S6	S7	S8
	1.0160	0.4746	0.4756	0.4734	0.4742	−0.0500	−0.1120	0.0360