Portfolio optimization with pw-robustness
Virginie Gabrel, Cécile Murat, Aurélie Thiele
| Year of publication: |
2018
|
|---|---|
| Authors: | Gabrel, Virginie ; Murat, Cécile ; Thiele, Aurélie |
| Published in: |
EURO journal on computational optimization. - Heidelberg : Springer, ISSN 2192-4406, ZDB-ID 2772752-X. - Vol. 6.2018, 3, p. 267-290
|
| Subject: | Portfolio optimization | Robust optimization | Value-at-risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Theorie | Theory | 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/s13675-018-0096-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012010205