Robust Portfolio Optimization with risk measure CVAR under MGH distribution in DEA models

Subject Areas : International Journal of Data Envelopment Analysis

Morteza Robatjazi ¹ , Shokoofeh Banihashemi ² , Navideh Modarresi ³

1 - financial mathematics,mathematics, Allameh tabataba'i, Tehran,Iran
2 - Allameh Tabatabai'i University
3 - mathematics,facully of mathemaics and computer science, Allameh tabataba'i Univercity,Tehran,iran

Received: 2018-06-06 Accepted : 2018-11-20 Published : 2019-01-01

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