Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures.

MLA

Gotoh, Jun-Ya, et al. “Robust Portfolio Techniques for Mitigating the Fragility of CVaR Minimization and Generalization to Coherent Risk Measures.” Quantitative Finance, vol. 13, no. 10, Oct. 2013, pp. 1621–35. EBSCOhost, https://doi.org/10.1080/14697688.2012.738930.

APA

Gotoh, J.-Y., Shinozaki, K., & Takeda, A. (2013). Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures. Quantitative Finance, 13(10), 1621–1635. https://doi.org/10.1080/14697688.2012.738930

Chicago

Gotoh, Jun-Ya, Keita Shinozaki, and Akiko Takeda. 2013. “Robust Portfolio Techniques for Mitigating the Fragility of CVaR Minimization and Generalization to Coherent Risk Measures.” Quantitative Finance 13 (10): 1621–35. doi:10.1080/14697688.2012.738930.