Robust portfolio selection involving options under a ``marginal+joint'' ellipsoidal uncertainty set (Q425328): Difference between revisions

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Latest revision as of 07:10, 5 July 2024

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Robust portfolio selection involving options under a ``marginal+joint'' ellipsoidal uncertainty set
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    Robust portfolio selection involving options under a ``marginal+joint'' ellipsoidal uncertainty set (English)
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    8 June 2012
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    robust optimization
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    robust portfolio
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    probability constraint
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    linear matrix inequality
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