Robust portfolios: contributions from operations research and finance

DOI10.1007/S10479-009-0515-6zbMath1233.91243OpenAlexW2134919172MaRDI QIDQ993719

Guofu Zhou, Frank J. Fabozzi, Dashan Huang

Publication date: 20 September 2010

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-009-0515-6

zbMATH Keywords

parameter uncertaintymodel uncertaintymean-variancerobust portfoliomean-CVaRmean-VaR

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Management decision making, including multiple objectives (90B50) Portfolio theory (91G10)

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Uses Software

• robustbase

Cites Work

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