Robust scenario optimization based on downside-risk measure for multi-period portfolio selection (Q2460070)
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scientific article; zbMATH DE number 5211613
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| English | Robust scenario optimization based on downside-risk measure for multi-period portfolio selection |
scientific article; zbMATH DE number 5211613 |
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Robust scenario optimization based on downside-risk measure for multi-period portfolio selection (English)
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14 November 2007
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Finance
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Risk
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Multi-period portfolio selection
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Stochastic programming
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Discrete scenario tree
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Downside risk
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0.9108733
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0.90824264
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0.8972486
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0.89095306
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0.8880412
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0.8866314
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0.8734141
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0.8688505
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