Insights into robust optimization : decomposing into mean-variance and risk-based portfolios
Thomas Heckel and Raul Leote de Carvalho
| Year of publication: |
December 2016
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|---|---|
| Authors: | Heckel, Thomas ; Carvalho, Raul Leote de ; Lu, Xiao ; Perchet, Romain |
| Published in: |
The journal of investment strategies. - London : Infopro Digital, ISSN 2047-1238, ZDB-ID 2889641-5. - Vol. 6.2016, 1, p. 1-24
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| Subject: | portfolio optimization | robust optimization | risk-based portfolios | mean-variance | asset allocation | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOIS.2016.076 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011668116