Worst-Case Value-At-Risk and Robust Portfolio Optimization:...

Operations Research 2003 / 08 Vol. 51; Iss. 4

Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

Ghaoui, Laurent El, Oks, Maksim, Oustry, Francois
How much do you like this book?
What’s the quality of the file?
Download the book for quality assessment
What’s the quality of the downloaded files?
Volume:
51
Language:
english
Journal:
Operations Research
DOI:
10.1287/opre.51.4.543.16101
Date:
August, 2003
File:
PDF, 252 KB
english, 2003
Conversion to is in progress
Conversion to is failed