Robust portfolio selection based on asymmetric measures of variability of stock returns
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Publication:843134
DOI10.1016/j.cam.2009.06.010zbMath1181.91290OpenAlexW1995503290MaRDI QIDQ843134
Publication date: 29 September 2009
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2009.06.010
Related Items (6)
Robust portfolio optimization: a categorized bibliographic review ⋮ Recent advancements in robust optimization for investment management ⋮ Developing a multi-period robust optimization model considering American style options ⋮ Robust reward–risk ratio portfolio optimization ⋮ Robust optimization and portfolio selection: the cost of robustness ⋮ Worst-case analysis of Gini mean difference safety measure
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