Robust portfolio selection with a combined WCVaR and factor model
From MaRDI portal
Publication:2358869
DOI10.3934/jimo.2012.8.343zbMath1364.90179MaRDI QIDQ2358869
Publication date: 16 June 2017
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2012.8.343
90C90: Applications of mathematical programming
90C05: Linear programming
90B50: Management decision making, including multiple objectives
91G10: Portfolio theory