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...
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| Auteurs principaux: | , , |
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| Format: | article |
| Langue: | EN |
| Publié: |
Elsevier
2018
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| Sujets: | |
| Accès en ligne: | https://doaj.org/article/aef65b8389be4b87ab45892fec26a22c |
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