Robust portfolio selection involving options under a ``marginal+joint'' ellipsoidal uncertainty set (Q425328)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust portfolio selection involving options under a ``marginal+joint'' ellipsoidal uncertainty set |
scientific article |
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Robust portfolio selection involving options under a ``marginal+joint'' ellipsoidal uncertainty set (English)
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8 June 2012
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robust optimization
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robust portfolio
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probability constraint
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linear matrix inequality
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