A robust set-valued scenario approach for handling modeling risk in portfolio optimization
Shushang Zhu, Xiaodong Ji and Duan Li
| Year of publication: |
September 2015
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|---|---|
| Authors: | Zhu, Shushang ; Jin, Xiaodong ; Li, Duan |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 19.2015, 1, p. 11-40
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| Subject: | portfolio operation | downside risk | set-valued scenario | modeling risk | investment style | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure | Szenariotechnik | Scenario analysis | Risikomanagement | Risk management | Risiko | Risk | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011480704