Robust asset allocation strategies: relaxed versus classical robustness

DOI10.1093/imaman/dps023zbMath1282.91308OpenAlexW1969376433MaRDI QIDQ5397572

Maria Grazia Scutellà, Raffaella Recchia

Publication date: 24 February 2014

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dps023

zbMATH Keywords

robustnessportfolio optimizationmathematical modelsconvex risk measurescomputational experimentation

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Portfolio theory (91G10)

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