Worst-case VaR beats plain VaR on Sortino ratio for 98-stock Indian portfolios, and worst-case CVaR beats plain CVaR in simulated settings, but the comparisons are in-sample and the CVaR mixture size is chosen after results are known.
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Is being `Robust' beneficial?: A perspective from the Indian market
Worst-case VaR beats plain VaR on Sortino ratio for 98-stock Indian portfolios, and worst-case CVaR beats plain CVaR in simulated settings, but the comparisons are in-sample and the CVaR mixture size is chosen after results are known.