Searching for "Robust Portfolio Selection Problems." – sorted by Relevance.
5 documents found, showing 1 through 5.
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Robust Portfolio Selection Problems
- …Robust portfolio selection problems D. Goldfarb y G. Iyengar z December 26, 2001 Abstract…
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Robust portfolio selection with uncertain exit time using worst-case VaR strategy
- … with (P3) and Proposition 3, the robust portfolio selection problem with semi-ellipsoidal uncertainty…
- Cited by 1 (0 self) – Add To MetaCart
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2005) Robust CVaR Approach to Portfolio Selection with Uncertain Exit Time
- … the problem of selecting a portfolio with uncertain exit time into a robust optimization problem in the sense…
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Some applications of symmetric cone programming in financial mathematics
- … parameters), which is called the uncertainty region. Then the robust portfolio selection problems try to find…
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Robust Convex Quadratically Constrained Programs
- …. For details on robust portfolio selection problems and the performance on real market data see [16]. 3…
- Cited by 10 (1 self) – Add To MetaCart
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