Log-robust portfolio management with parameter ambiguity
Ban Kawas, Aurelie Thiele
| Year of publication: |
April 2017
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|---|---|
| Authors: | Kawas, Ban ; Thiele, Aurelie |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 14.2017, 2, p. 229-256
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| Subject: | Robust optimization | Weighted sum of exponentials | Log-robust portfolio management | Inner linear approximation | Outer linear approximation | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-017-0275-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011710772