EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Robust tracking error portfolio"
Narrow search

Narrow search

Year of publication
Subject
All
Downside risk measure 2 Robust tracking error portfolio 2 Semidefinite programming 2 Sharpe ratio 2 Capital income 1 Kapitaleinkommen 1 Mathematical programming 1 Mathematische Optimierung 1 Measurement 1 Messung 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Robust statistics 1 Robustes Verfahren 1 Statistical error 1 Statistischer Fehler 1 Theorie 1 Theory 1
more ... less ...
Online availability
All
Undetermined 1
Type of publication
All
Article 2
Type of publication (narrower categories)
All
Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
English 1 Undetermined 1
Author
All
Ling, Aifan 2 Sun, Jie 2 Yang, Xiaoguang 2
Published in...
All
Journal of Economic Dynamics and Control 1 Journal of economic dynamics & control 1
Source
All
ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
Cover Image
Robust tracking error portfolio selection with worst-case downside risk measures
Ling, Aifan; Sun, Jie; Yang, Xiaoguang - In: Journal of Economic Dynamics and Control 39 (2014) C, pp. 178-207
This paper proposes downside risk measure models in portfolio selection that captures uncertainties both in distribution and in parameters. The worst-case distribution with given information on the mean value and the covariance matrix is used, together with ellipsoidal and polytopic uncertainty...
Persistent link: https://www.econbiz.de/10010744192
Saved in:
Cover Image
Robust tracking error portfolio selection with worst-case downside risk measures
Ling, Aifan; Sun, Jie; Yang, Xiaoguang - In: Journal of economic dynamics & control 39 (2014), pp. 178-207
Persistent link: https://www.econbiz.de/10010388754
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...