Robust portfolio selection based on a joint ellipsoidal uncertainty set
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Publication:3093036
DOI10.1080/10556780903334682zbMATH Open1222.91053OpenAlexW2155945500MaRDI QIDQ3093036FDOQ3093036
Authors: Zhaosong Lu 
Publication date: 12 October 2011
Published in: Optimization Methods \& Software (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10556780903334682
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- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
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- A closed-form solution for robust portfolio selection with worst-case CVaR risk measure
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