Worst-case robust decisions for multi-period mean-variance portfolio optimization (Q2643927)

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Worst-case robust decisions for multi-period mean-variance portfolio optimization
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    Worst-case robust decisions for multi-period mean-variance portfolio optimization (English)
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    27 August 2007
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    stochastic programming
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    nonlinear programming
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    risk management
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    finance
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    worst-case design
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    uncertainty modelling
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    scenario tree
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