Robust growth-optimal portfolios
Napat Rujeerapaiboon, Daniel Kuhn (Risk Analytics and Optimization Chair, École Polytechnique Fédérale de Lausanne, Lausanne, Switzerland), Wolfram Wiesemann (Imperial College Business School, Imperial College London, London, United Kingdom)
| Year of publication: |
July 2016
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|---|---|
| Authors: | Rujeerapaiboon, Napat ; Kuhn, Daniel ; Wiesemann, Wolfram |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 62.2016, 7, p. 2090-2109
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| Subject: | portfolio optimization | growth-optimal portfolio | distributionally robust optimization | value-at-risk | second-order cone programming | semidefinite programming | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2015.2228 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011520389