This paper studies the out-of-sample performance of the data driven
Mean-CVaR portfolio optimization(DDMC) model, in which the historical data
of the stock returns are regarded as the realized returns and used directly in the
mean-CVaR portfolio opti
S. Alexander, T. F. Coleman, and Y. Li, “Minimizing VaR and
CVaR for a portfolio of derivatives,” Journal of Banking and
Finance, vol. 30, no. 2, pp. 583–605, 2006.
This paper aims to study stable portfolios with mean-variance-CVaR criteria for high-
dimensional data. Combining different estimators of covariance matrix, computational
methods of CVaR, and regularization methods, we construct five progressive opti
