Takano, Yuichi; Gotoh, Jun-ya - In: Operations research perspectives 10 (2023), pp. 1-10
incorporating time-series behaviors of asset returns on the basis of coherent risk minimization. Analyzing the dual form of our … robust optimization. For this optimization, we prove that the worst-case coherent risk measure can be decomposed into the … empirical risk measure and the penalty terms. Numerical results demonstrate that when the number of assets is small, linear …