Scenario wise distributionally robust optimization for Conditional Value-at-Risk

• Main Author: Tan, Guan Hoe
• Other Authors: PUN Chi Seng
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2019
• Subjects: Science::Mathematics; Science::Mathematics::Statistics
• Online Access: https://hdl.handle.net/10356/136489
• Institution: Nanyang Technological University

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...