Before revision: We investigate two methods for reducing estimation error in portfolio optimization with Conditional Value-at-Risk (CVaR ). The first method is nonparametric : penalize portfolios with large variances in mean and CVaR estimations.
After revision: We investigate two methods for reducing estimation error in portfolio optimization with Conditional Value-at-Risk (CVaR ). The first method is nonparametric : penalize portfolios with large variability in mean and CVaR estimations.