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Search: subject:"Robust control approach"
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Global minimum variance portfolio
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Parameter uncertainty
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Robust control approach
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Robust portfolio
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Maillet, Bertrand Bruno
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Tokpavi, Sessi
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Vaucher, Benoit
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EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
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Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A
Robust
Control
Approach
Maillet, Bertrand Bruno
;
Tokpavi, Sessi
;
Vaucher, Benoit
-
EconomiX, Université Paris Ouest-Nanterre la Défense …
-
2013
parameter uncertainty. Using a
robust
control
approach
, we introduce a portfolio rule for investors who wish to invest in the …
Persistent link: https://www.econbiz.de/10010896315
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