Robust minimum variance portfolio optimization modelling under scenario uncertainty
Panos Xidonas, Christis Hassapis, John Soulis, Aristeidis Samitas
| Year of publication: |
August 2017
|
|---|---|
| Authors: | Xidonas, Panos ; Hassapis, Christis ; Soulis, John ; Samitas, Aristeidis |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 64.2017, p. 60-71
|
| Subject: | Portfolio optimization | Robustness | Scenario uncertainty | Portfolio-Management | Portfolio selection | Theorie | Theory | Risiko | Risk | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming | Entscheidung unter Unsicherheit | Decision under uncertainty | Szenariotechnik | Scenario analysis | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2017.03.020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011756471