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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | article |
| Language: | EN |
| Published: |
Elsevier
2018
|
| Subjects: | |
| Online Access: | https://doaj.org/article/aef65b8389be4b87ab45892fec26a22c |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!