Robust portfolio selection involving options under a ``marginal+joint'' ellipsoidal uncertainty set (Q425328)
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scientific article; zbMATH DE number 6043610
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| English | Robust portfolio selection involving options under a ``marginal+joint'' ellipsoidal uncertainty set |
scientific article; zbMATH DE number 6043610 |
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Robust portfolio selection involving options under a ``marginal+joint'' ellipsoidal uncertainty set (English)
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8 June 2012
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robust optimization
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robust portfolio
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probability constraint
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linear matrix inequality
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0.9649416
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0.94554365
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0.94270164
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0.90631723
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0.9063164
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0.89808303
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0.89229244
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