Browsing Mathematics (Faculty of) by Author "Yu, Lanlan"
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Comparing Classical Portfolio Optimization and Robust Portfolio Optimization on Black Swan Events
Yu, Lanlan (University of Waterloo, 2021-01-29)Black swan events, such as natural catastrophes and manmade market crashes, historically have a drastic negative influence on investments; and there is a discrepancy on losses caused by these two types of disasters. In ...