Robust Portfolio Optimization under Interval-valued Conditional Value-at-Risk (CVaR) Criterion in the Tehran Stock Exchange

Objective Ever since Harry Markowitz's groundbreaking paper on the mean-variance model was published in 1952, numerous efforts have been dedicated to exploring the applications and advancements of classical models. Following the development of financial markets, active portfolio optimization has bec...

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Detalhes bibliográficos

Principais autores:	Alireza Hamidieh, Meysam Kaviani, Bahareh Akhgari Akhgari
Formato:	Artigo
Idioma:	Persa
Publicado em:	University of Tehran 2023-09-01
coleção:	تحقیقات مالی
Assuntos:	portfolio random variable interval value cvar robust planning
Acesso em linha:	https://jfr.ut.ac.ir/article_94423_ffba9dfad526eb30f118e8962230d941.pdf
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