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. Omega. 10.1016/j.omega.2025.103444
Divyanee Garg, Ruchika Sehgal, Aparna Mehra, Data-Driven Approach to Robust Portfolio Optimization using Deep Neural Networks.