Robust Portfolio Optimisation with Multiple Experts*

DOI10.1093/rof/rfn028zbMath1203.91275OpenAlexW3123266636MaRDI QIDQ3564679

Frank Lutgens, Peter C. Schotman

Publication date: 26 May 2010

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://cris.maastrichtuniversity.nl/ws/files/72450469/schotmans_2008_robust_portfolio_optimisation_with_multiple.pdf

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Related Items (5)

Diversified portfolios with different entropy measures ⋮ Recent advancements in robust optimization for investment management ⋮ Robust trade-off portfolio selection ⋮ Robust portfolios: contributions from operations research and finance ⋮ Portfolio selection under distributional uncertainty: a relative robust CVaR approach

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