Robust portfolio optimization with Value-at-Risk-adjusted Sharpe
Geng Deng; Tim Dulaney; Craig McCann; Olivia Wang
| Year of publication: |
2013
|
|---|---|
| Authors: | Deng, Geng ; Dulaney, Tim ; McCann, Craig ; Wang, Olivia |
| Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 14.2013, 5, p. 293-305
|
| Subject: | Sharpe ratio | portfolio optimization | robust optimization | VaR | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Schätztheorie | Estimation theory |
| 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://ebvufind01.dmz1.zbw.eu/10010237942