A study of robust portfolio optimization with European options using polyhedral uncertainty sets
Year of publication: |
2021
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Authors: | Ashrafi, Hedieh ; Thiele, Aurélie C. |
Published in: |
Operations research perspectives. - Amsterdam [u.a.] : Elsevier, ISSN 2214-7160, ZDB-ID 2821932-6. - Vol. 8.2021, Art.-No. 100178, p. 1-18
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Subject: | European options | Portfolio management | Robust optimization | Experiment | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1016/j.orp.2021.100178 [DOI] hdl:10419/246438 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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