Robust Portfolio Optimisation with Multiple Experts*
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Publication:3564679
DOI10.1093/rof/rfn028zbMath1203.91275OpenAlexW3123266636MaRDI QIDQ3564679
Frank Lutgens, Peter C. Schotman
Publication date: 26 May 2010
Published in: Review of Finance (Search for Journal in Brave)
Full work available at URL: https://cris.maastrichtuniversity.nl/ws/files/72450469/schotmans_2008_robust_portfolio_optimisation_with_multiple.pdf
Statistical methods; risk measures (91G70) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)
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