Robust portfolios: contributions from operations research and finance (Q993719)

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scientific article
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English
Robust portfolios: contributions from operations research and finance
scientific article

    Statements

    title
    Robust portfolios: contributions from operations research and finance (English)
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    author
    Frank J. Fabozzi
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    Dashan Huang
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    Guofu Zhou
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    publication date
    20 September 2010
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    zbMATH Keywords
    robust portfolio
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    mean-variance
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    mean-VaR
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    mean-CVaR
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    parameter uncertainty
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    model uncertainty
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91B30
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    90B50
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    62P05
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    zbMATH DE Number
    5788828
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