Portfolio optimization with pw-robustness
This paper investigates a portfolio optimization problem under uncertainty on the stock returns, where the manager seeks to achieve an appropriate trade-off between the expected portfolio return and the risk of loss. The uncertainty set consists of a finite set of scenarios occurring with equal prob...
Guardado en:
Autores principales: | Virginie Gabrel, Cécile Murat, aurélie Thiele |
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Formato: | article |
Lenguaje: | EN |
Publicado: |
Elsevier
2018
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Materias: | |
Acceso en línea: | https://doaj.org/article/aef65b8389be4b87ab45892fec26a22c |
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