Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
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Publication:2183311
DOI10.1016/j.ejor.2019.01.012zbMath1441.91069OpenAlexW2910204215MaRDI QIDQ2183311
Publication date: 26 May 2020
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11937/74439
risk managementmulti-period portfolio selectionrobust portfolio optimizationlower partial momentasymmetric uncertainty set
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