Research Interest
Robust portfolio optimization, data-driven robust portfolio optimization, and portfolio optimization with behavioural features
Publications
Divyanee Garg, Aparna Mehra, Portfolio Optimization with Expectile Value at Risk and Conditional Value at Risk: Deviation Measure and Robust Allocation. Computational and Applied Mathematics. https://doi.org/10.1007/s40314-025-03446-x
Divyanee Garg, Ahmad Zaman Khan, Aparna Mehra, Enhanced Indexing using Cumulative Prospect Theory Utility Function with Expectile Risk. Accepted in Omega (available online soon).
Divyanee Garg, Ruchika Sehgal, Aparna Mehra, Data-Driven Approach to Robust Portfolio Optimization using Deep Neural Networks.