Conditional value-at-risk under reward-penalty mechanism with applications to robust portfolio management

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Highly relevant for institutional portfolio managers and quantitative strategists focusing on risk-adjusted returns and robust optimization. The explicit solutions allow for efficient implementation in portfolio construction algorithms.

The theoretical derivation is complex, but the resulting optimal allocation formulas are explicit or reducible to standard convex optimization problems, making implementation feasible for practitioners with optimization libraries.

The paper provides detailed mathematical derivations, explicit formulas for optimal allocations, and specifies the data source (Yahoo! Finance) and parameters used in empirical experiments. However, no code repository is explicitly linked in the text.