Robust portfolio asset allocation and risk measures (Q5901149)

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scientific article; zbMATH DE number 5774167
Language Label Description Also known as
English
Robust portfolio asset allocation and risk measures
scientific article; zbMATH DE number 5774167

    Statements

    title
    Robust portfolio asset allocation and risk measures (English)
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    author
    Maria Grazia Scutellà
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    Raffaella Recchia
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    published in
    4OR
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    publication date
    23 August 2010
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    zbMATH Keywords
    portfolio asset allocation
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    robustness
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    risk measures
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    mathematical models
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    algorithmic approaches
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    describes a project that uses
    KNITRO
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    QRM
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    SeDuMi
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    Mosek
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    ROME
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91B30
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    62G35
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    90C20
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    zbMATH DE Number
    5774167
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    OpenAlex ID
    W1986415480
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