Portfolio optimization with pw-robustness
Year of publication: |
2018
|
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Authors: | Gabrel, Virginie ; Murat, Cécile ; Thiele, Aurélie |
Published in: |
EURO journal on computational optimization. - Heidelberg : Springer, ISSN 2192-4406, ZDB-ID 2772752-X. - Vol. 6.2018, 3, p. 267-290
|
Subject: | Portfolio optimization | Robust optimization | Value-at-risk | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Robustes Verfahren | Robust statistics |
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