In this paper, based on the robust optimization techniques Chen et al. [9], we propose a computationally tractable robust optimization method for minimizing the CVaR of a portfolio. The remarkable characteristic of the new method is that the robust optimization model retains the complexity of original portfolio optimization problem, i.e., the robust counterpart problem is still a linear programming problem. Moreover, it takes into consideration asymmetries in the distributions of returns. We present some numerical experiments with simulated and...
