Robust tracking error portfolio selection with worst-case downside risk measures
Aifan Ling; Jie Sun; Xiaoguang Yang
| Year of publication: |
2014
|
|---|---|
| Authors: | Ling, Aifan ; Sun, Jie ; Yang, Xiaoguang |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 39.2014, p. 178-207
|
| Subject: | Downside risk measure | Robust tracking error portfolio | Semidefinite programming | Sharpe ratio | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Statistischer Fehler | Statistical error | Messung | Measurement | Mathematische Optimierung | Mathematical programming | Risiko | Risk | Robustes Verfahren | Robust statistics | Kapitaleinkommen | Capital income |
| 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/10010388754