Long-term wealth growth portfolio allocation under parameter uncertainty : a non-conservative robust approach

Bo Zhu, Tianlun Zhang

Year of publication:	2021
Authors:	Zhu, Bo ; Zhang, Tianlun
Published in:	The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 57.2021, p. 1-24
Subject:	Kelly strategy \| Portfolio selection \| Robust optimization \| Second-order cone programming \| Shrinkage estimation \| Portfolio-Management \| Robustes Verfahren \| Robust statistics \| Mathematische Optimierung \| Mathematical programming \| Schätztheorie \| Estimation theory

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