On the role of norm constraints in portfolio selection (Q645500)
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scientific article; zbMATH DE number 5971979
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | On the role of norm constraints in portfolio selection |
scientific article; zbMATH DE number 5971979 |
Statements
On the role of norm constraints in portfolio selection (English)
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15 November 2011
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portfolio optimization
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norm constraint
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robust portfolio
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tracking portfolio
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CVar (conditional value-at-risk)
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0.8381445407867432
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0.8028011322021484
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0.7708028554916382
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0.7696640491485596
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0.7689024806022644
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