Robust portfolio optimization with copulas
Year of publication: |
2014
|
---|---|
Authors: | Kakouris, Iakovos ; Rustem, Berç |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 235.2014, 1 (16.5.), p. 28-37
|
Subject: | Convex programming | Robust optimization | Copulas | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Multivariate Verteilung | Multivariate distribution | Robustes Verfahren | Robust statistics |
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