Stability advances in robust portfolio optimization under parallelepiped uncertainty
Güray Kara, Ayşe Özmen, Gerhard-Wilhelm Weber
| Year of publication: |
Januar 2019
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|---|---|
| Authors: | Kara, Güray ; Özmen, Ayşe ; Weber, Gerhard-Wilhelm |
| Published in: |
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies. - Berlin : Springer, ISSN 1435-246X, ZDB-ID 1178875-6. - Vol. 27.2019, 1, p. 241-261
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| Subject: | Robustness and sensitivity analysis | Robust optimization | Robust conditional value-at-risk | Parallelepiped uncertainty | Risk management | Robustes Verfahren | Robust statistics | Portfolio-Management | Portfolio selection | Risikomanagement | Theorie | Theory | Entscheidung unter Unsicherheit | Decision under uncertainty | Risikomaß | Risk measure | Risiko | Risk | Sensitivitätsanalyse | Sensitivity analysis | Mathematische Optimierung | Mathematical programming |