Robust asset allocation strategies : relaxed versus classical robustness
Raffaela Recchia and Maria Grazia Scutellà
| Year of publication: |
2014
|
|---|---|
| Authors: | Recchia, Raffaela ; Scutellà, Maria Grazia |
| Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 25.2014, 1, p. 21-56
|
| Subject: | portfolio optimization | robustness | convex risk measures | mathematical models | computational experimentation | Portfolio-Management | Portfolio selection | Theorie | Theory | Robustes Verfahren | Robust statistics | Messung | Measurement | Mathematische Optimierung | Mathematical programming | Risiko | Risk | Risikomaß | Risk measure |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010242806