Log-robust portfolio management with parameter ambiguity
Year of publication: |
April 2017
|
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Authors: | Kawas, Ban ; Thiele, Aurelie |
Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 14.2017, 2, p. 229-256
|
Subject: | Robust optimization | Weighted sum of exponentials | Log-robust portfolio management | Inner linear approximation | Outer linear approximation | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Robustes Verfahren | Robust statistics | Entscheidung unter Unsicherheit | Decision under uncertainty | Schätztheorie | Estimation theory |
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