Research Article
Distributionally Robust Return-Risk Optimization Models and Their Applications
Table 1
Numerical results for Example
1 (
).
| | Model | ER | SD | (WER, WCVaR) |
| |
Model 1 | 0.1103 | 0.0429 | (0.0868, 0.2000) | |
Model 3 | 0.1103 | 0.0429 | 0.0468 | | [21] | 0.1090 | 0.0417 | — | | (21) | 0.1200 | 0.3768 | — |
|
|
