A practical guide to robust portfolio optimization
Year of publication: |
2021
|
---|---|
Authors: | Yin, Chenyang ; Perchet, Romain ; Soupé, François |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 6, p. 911-928
|
Subject: | Asset Allocation | Mean-variance optimization | Multi-asset | Portfolio construction | Robust optimization | Theorie | Theory | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming |
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