A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set (Q623460): Difference between revisions

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+SeDuMi
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+https://doi.org/10.1007/s10107-009-0271-z
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+W2065537693
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+Q4496020
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@@ Property / cites work @@
+Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
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+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
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@@ Property / cites work @@
+Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
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+Robust asset allocation
@@ Property / cites work: Robust asset allocation / rank @@
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