International portfolio management with affine policies
From MaRDI portal
Publication:1927003
DOI10.1016/j.ejor.2012.06.001zbMath1253.91166MaRDI QIDQ1927003
Raquel J. Fonseca, Berc Rustem
Publication date: 29 December 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2012.06.001
semidefinite programming; robust optimization; linear decision rules; multistage portfolio optimization; worst case value-at-risk
90C22: Semidefinite programming
91G80: Financial applications of other theories
91G10: Portfolio theory
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Uses Software
Cites Work
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