On the role of norm constraints in portfolio selection
| Year of publication: |
2011
|
|---|---|
| Authors: | Gotoh, Jun-ya ; Takeda, Akiko |
| Published in: |
Computational Management Science. - Springer. - Vol. 8.2011, 4, p. 323-353
|
| Publisher: |
Springer |
| Subject: | Portfolio optimization | Norm constraint | Robust portfolio | Tracking portfolio | CVaR (conditional value-at-risk) |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009324515