Dynamic mean-variance portfolio analysis under model risk (Q3404358)
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scientific article; zbMATH DE number 5667604
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| English | Dynamic mean-variance portfolio analysis under model risk |
scientific article; zbMATH DE number 5667604 |
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Dynamic mean-variance portfolio analysis under model risk (English)
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8 February 2010
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robust portfolio optimization
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Lagrangian reformulation
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approximation
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0.836458146572113
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0.833379864692688
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0.8185567855834961
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0.8184725046157837
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