A Closed-Form Solution for Robust Portfolio Selection with Worst-Case CVaR Risk Measure

Table 2

The out-of-sample returns statistics of portfolios obtained by WCCVaR, VaR, MV, and equally weighted strategy (1/𝑁), where 1/𝑁 is the equally weighted strategy. Std: standard deviation, tv: terminal value of wealth, and cv: coefficient of variation in this table.

Model	Mean	Std	Max.	Min.	tv	cv
WCCVaR	0.0377	0.0131	0.0707	−0.0002	1.0269	1.26%
VaR	0.0037	0.1169	0.2342	−0.1987	0.8141	11.65%
1/𝑁	−0.1238	0.0759	0.0127	−0.2485	0.8369	8.66%
MV	0.0046	0.0986	0.0457	−0.1254	0.8433	8.53%