Worst-case robust decisions for multi-period mean-variance portfolio optimization (Q2643927)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Worst-case robust decisions for multi-period mean-variance portfolio optimization |
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Worst-case robust decisions for multi-period mean-variance portfolio optimization (English)
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27 August 2007
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stochastic programming
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nonlinear programming
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risk management
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finance
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worst-case design
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uncertainty modelling
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scenario tree
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