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

Operations Research 2003 / 07-08 Vol. 51; Iss. 4

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

Laurent El Ghaoui, Maksim Oks and Francois Oustry
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Volume:
51
Language:
english
Journal:
Operations Research
DOI:
10.2307/4132418
Date:
July, 2003
File:
PDF, 699 KB
english, 2003
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