Robust tracking error portfolio selection with worst-case downside risk measures
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Publication:1994379
DOI10.1016/j.jedc.2013.11.011zbMath1402.91713OpenAlexW4375906062MaRDI QIDQ1994379
Publication date: 1 November 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2013.11.011
Semidefinite programming (90C22) Quadratic programming (90C20) Financial applications of other theories (91G80) Portfolio theory (91G10)
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Uses Software
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