Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
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Publication:3637367
DOI10.1287/opre.51.4.543.16101zbMath1165.91397MaRDI QIDQ3637367
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Publication date: 9 July 2009
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/172fc53432c0b1b8bd3d0da1be6f9363f27cfaa9
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