Robust worst-case optimal investment
Year of publication: |
2015
|
---|---|
Authors: | Desmettre, Sascha ; Korn, Ralf ; Ruckdeschel, Peter ; Seifried, Frank Thomas |
Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 0171-6468, ZDB-ID 2073885-7. - Vol. 37.2015, 3, p. 677-701
|
Subject: | Worst case | Crash scenario | Robust optimization | Knightian uncertainty | Efficiency | Min-max approach | Theorie | Theory | Robustes Verfahren | Robust statistics | Portfolio-Management | Portfolio selection | Entscheidung unter Unsicherheit | Decision under uncertainty | Mathematische Optimierung | Mathematical programming | Risiko | Risk |
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