Robust portfolio selection with uncertain exit time using worst-case VaR strategy
| Year of publication: |
2007
|
|---|---|
| Authors: | Huang, Dashan ; Fabozzi, Frank J. ; Fukushima, Masao |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 7207359. - Vol. 35.2007, 5, p. 627-635
|