Scenario wise distributionally robust optimization for Conditional Value-at-Risk
Throughout the years, investors have been formulating investment strategies to best allocate their portfolio through optimization to get consistent returns. In year 1996, Bridgewater launched its All Weather Strategy to provide investors with consistent returns across a wide range of economic enviro...
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| Format: | Final Year Project |
| Language: | English |
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Nanyang Technological University
2019
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| Online Access: | https://hdl.handle.net/10356/136489 |
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| Institution: | Nanyang Technological University |
| Language: | English |