Vahn Gah-Yi

Gah-Yi Vahn

Information about the author Gah-Yi Vahn will soon be added to the site.
Found 2 papers in total
Robust Portfolio Choice with Learning in the Framework of Regret: Single‐Period Case
Robust Portfolio Choice with Learning in the Framework of Regret: Single‐Period Case
2012
In this paper, we formulate a single‐period portfolio choice problem with...
Conditional value‐at‐risk in portfolio optimization: Coherent but fragile
Conditional value‐at‐risk in portfolio optimization: Coherent but fragile
2011
We evaluate conditional value‐at‐risk (CVaR) as a risk measure in...
Papers per page: