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

Résumé fourni par la source

Code, data and numerical outputs underlying 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). Changes in v1.7.1: Add objective rescaling safeguard in HiGHS QP solver (solve_min_variance) to prevent solver errors under numerical ill-conditioning. Standardize quantile convention (Hyndman-Fan type 7) and align observed statistics in paired circular block bootstrap inference. Support --tex flag in scripts/validate_manuscript.py for flexible table verification. Update Zenodo DOI metadata and pre-flight check script. Re-export and cross-check all empirical figures and numerical result tables.