Robust portfolio selection with uncertain exit time using worst-case VaR strategy (Q2465952)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust portfolio selection with uncertain exit time using worst-case VaR strategy |
scientific article |
Statements
Robust portfolio selection with uncertain exit time using worst-case VaR strategy (English)
0 references
11 January 2008
0 references
semi-definite programming
0 references
worst-case var
0 references
robust portfolio selection
0 references
uncertain exit time
0 references
0 references
0 references
