Robust portfolio selection with uncertain exit time using worst-case VaR strategy (Q2465952)
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scientific article; zbMATH DE number 5225193
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| English | Robust portfolio selection with uncertain exit time using worst-case VaR strategy |
scientific article; zbMATH DE number 5225193 |
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Robust portfolio selection with uncertain exit time using worst-case VaR strategy (English)
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11 January 2008
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semi-definite programming
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worst-case var
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robust portfolio selection
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uncertain exit time
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0.9120996594429016
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0.8484331369400024
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0.8354270458221436
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0.8242995738983154
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0.8161314725875854
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