International Journal of Data Envelopment Analysis

Issue 1 Vol. 7 Winter 2019

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Manuscript ID : IJDEA-1905-1093 (R1) Visit : 105 Page: 43 - 56

Article Type: Original Research

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

Subject Areas : International Journal of Data Envelopment Analysis

Morteza Robatjazi ¹ ( financial mathematics,mathematics, Allameh tabataba&#039;i, Tehran,Iran )
Shokoofeh Banihashemi ² ( Allameh Tabatabai&amp;#039;i University )
Navideh Modarresi ³ ( mathematics,facully of mathemaics and computer science, Allameh tabataba&#039;i Univercity,Tehran,iran )

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

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

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