Robust portfolio optimization with derivative insurance guarantees (Q531475)

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Robust portfolio optimization with derivative insurance guarantees
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    title
    Robust portfolio optimization with derivative insurance guarantees (English)
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    author
    Steve Zymler
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    Berc Rustem
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    Daniel Kuhn
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    publication date
    29 April 2011
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    zbMATH DE Number
    5882517
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    zbMATH Keywords
    robust optimization
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    portfolio optimization
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    portfolio insurance
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    second-order cone programming
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