Robust portfolio selection based on a joint ellipsoidal uncertainty set (Q3093036)
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scientific article; zbMATH DE number 5957049
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| English | Robust portfolio selection based on a joint ellipsoidal uncertainty set |
scientific article; zbMATH DE number 5957049 |
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Robust portfolio selection based on a joint ellipsoidal uncertainty set (English)
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12 October 2011
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robust optimization
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mean-variance portfolio selection
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maximum risk-adjusted return portfolio selection
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cone programming
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linear regression
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0.9673857
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0.9577279
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0.94270164
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0.89514506
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0.88483727
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0.8817109
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0.87887377
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