Multi-period portfolio optimization : translation of autocorrelation risk to excess variance
Byung-Geun Choi, Napat Rujeerapaiboon, Ruiwei Jiang
| Year of publication: |
November 2016
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|---|---|
| Authors: | Choi, Byung-Geun ; Rujeerapaiboon, Napat ; Jiang, Ruiwei |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 44.2016, 6, p. 801-807
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| Subject: | Portfolio optimization | Semidefinite programming | Second-order cone programming | Robust optimization | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Robustes Verfahren | Robust statistics | Schätztheorie | Estimation theory | Autokorrelation | Autocorrelation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.orl.2016.10.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011622383