Continuous-state robust CVaR portfolio optimization via grid-restricted constraint generation

Résumé fourni par la source

Official code, data, and numerical reproduction release corresponding to the submitted manuscript: 'Continuous-state robust CVaR portfolio optimization via grid-restricted constraint generation' by Madani Bezoui and Thiziri Sifaoui (Computational Optimization and Applications, 2026). Highlights: Complete Julia implementation of the continuous-state robust CVaR portfolio optimization via adaptive SIP constraint generation. Full 30-year empirical rolling-window backtest (1995-2026) across 5 portfolio strategies. 14 out-of-sample institutional performance metrics, sub-period crisis evaluation, and paired circular block bootstrap inference. Exact reproducibility pipeline via julia --project=. main_exp.jl. All publication-ready analytical figures and result CSVs included. Licensed under the MIT License.