Multi-period portfolio optimization : translation of autocorrelation risk to excess variance

Byung-Geun Choi, Napat Rujeerapaiboon, Ruiwei Jiang

Year of publication:	November 2016
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
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

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