Robust portfolio selection based on a joint ellipsoidal uncertainty set (Q3093036)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust portfolio selection based on a joint ellipsoidal uncertainty set |
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Robust portfolio selection based on a joint ellipsoidal uncertainty set (English)
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12 October 2011
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robust optimization
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mean-variance portfolio selection
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maximum risk-adjusted return portfolio selection
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cone programming
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linear regression
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