Is Being “Robust” Beneficial? A Perspective from the Indian Market

Motivated by the progress made towards incorporating robust optimization in framework of risk minimization, this work focuses on assessing practical usefulness approaches for minimization downside measures, such as Value-at-Risk (VaR) and Conditional (CVaR). Accordingly, we perform empirical analysis performance VaR CVaR models with respect to their counterparts, namely, Worst-Case CVaR, using both simulated data market involving Indian indices S&P BSE 30 100. Additionally, provide relevant insights regarding viability these over classical formulations from perspective an investment practitioner. We conclude noting superior versions cases higher number stocks setup respectively.