Robust portfolio selection involving options under a “...

Robust portfolio selection involving options under a “ marginal+joint ” ellipsoidal uncertainty set

Ai-fan Ling, Cheng-xian Xu
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Volume:
236
Year:
2012
Language:
english
Pages:
21
DOI:
10.1016/j.cam.2012.03.023
File:
PDF, 545 KB
english, 2012
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