Robust portfolio selection based on a joint ellipsoidal uncertainty set
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Publication:3093036
DOI10.1080/10556780903334682zbMath1222.91053OpenAlexW2155945500MaRDI QIDQ3093036
Publication date: 12 October 2011
Published in: Optimization Methods and Software (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10556780903334682
robust optimizationlinear regressioncone programmingmean-variance portfolio selectionmaximum risk-adjusted return portfolio selection
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