Robustness to dependency in portfolio optimization using overlapping marginals
Xuan Vinh Doan (DIMAP and ORMS Group, Warwick Business School, University of Warwick, Coventry, United Kingdom), Xiaobo Li (Department of Industrial and Systems Engineering, University of Minnesota, Minneapolis, Minnesota), Karthik Natarajan (Engineering Systems and Design, Singapore University of Technology and Design, Singapore)
| Year of publication: |
November-December 2015
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|---|---|
| Authors: | Doan, Xuan Vinh ; Li, Xiaobo ; Natarajan, Karthik |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 63.2015, 6, p. 1468-1488
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| Subject: | distributionally robust optimization | portfolio optimization | overlapping marginals | Portfolio-Management | Portfolio selection | Theorie | Theory | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2015.1424 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011422605