An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
Betina Fernandes, Alexandre Street, Davi Valladão, Cristiano Fernandes
| Year of publication: |
December 2016
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|---|---|
| Authors: | Fernandes, Betina ; Street, Alexandre ; Valladão, Davi ; Fernandes, Cristiano Augusto Coelho |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 255.2016, 3 (16.12.), p. 961-970
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| Subject: | Finance | Uncertainty modeling | Robust portfolio optimization | Portfolio-Management | Portfolio selection | Entscheidung unter Unsicherheit | Decision under uncertainty | Risiko | Risk | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2016.05.038 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011556541