Robust Portfolio Selection Problems (Q5704112)

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scientific article; zbMATH DE number 2228277
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English
Robust Portfolio Selection Problems
scientific article; zbMATH DE number 2228277

    Statements

    title
    Robust Portfolio Selection Problems (English)
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    publication date
    11 November 2005
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    zbMATH Keywords
    robust optimization
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    mean-variance portfolio selection
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    value-at-risk portfolio selection
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    second-order cone programming
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    linear regression
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    90C20
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    90C22
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    zbMATH DE Number
    2228277
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