Insights into robust optimization : decomposing into mean-variance and risk-based portfolios
Year of publication: |
December 2016
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Authors: | Heckel, Thomas ; Carvalho, Raul Leote de ; Lu, Xiao ; Perchet, Romain |
Published in: |
The journal of investment strategies. - London : Infopro Digital, ISSN 2047-1238, ZDB-ID 2889641-5. - Vol. 6.2016, 1, p. 1-24
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Subject: | portfolio optimization | robust optimization | risk-based portfolios | mean-variance | asset allocation | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics |
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