Robustness to dependency in portfolio optimization using overlapping marginals
Year of publication: |
November-December 2015
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Authors: | Doan, Xuan Vinh ; Li, Xiaobo ; Natarajan, Karthik |
Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 63.2015, 6, p. 1468-1488
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Subject: | distributionally robust optimization | portfolio optimization | overlapping marginals | Theorie | Theory | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Statistische Verteilung | Statistical distribution | Mathematische Optimierung | Mathematical programming |
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