International portfolio management with affine policies (Q1927003)
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scientific article; zbMATH DE number 6119564
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | International portfolio management with affine policies |
scientific article; zbMATH DE number 6119564 |
Statements
International portfolio management with affine policies (English)
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29 December 2012
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linear decision rules
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robust optimization
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multistage portfolio optimization
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semidefinite programming
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worst case value-at-risk
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0.8156653046607971
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0.7782596349716187
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0.761579692363739
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0.7595272660255432
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0.7577236890792847
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