Multi-period portfolio optimization: translation of autocorrelation risk to excess variance (Q1709972)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-period portfolio optimization: translation of autocorrelation risk to excess variance |
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Multi-period portfolio optimization: translation of autocorrelation risk to excess variance (English)
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15 January 2019
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portfolio optimization
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semidefinite programming
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second-order cone programming
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robust optimization
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