Risk management strategies via minimax portfolio optimization
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Publication:992622
DOI10.1016/j.ejor.2010.04.025zbMath1205.91091MaRDI QIDQ992622
David F. Rogers, George G. Polak, Dennis J. Sweeney
Publication date: 9 September 2010
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2010.04.025
90C08: Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.)
91G10: Portfolio theory
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Cites Work
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