Research Article
CVaR Robust Mean-CVaR Portfolio Optimization
| 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 |
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