Reliability in portfolio optimization using uncertain estimates

DOI10.1007/s13571-022-00285-2OpenAlexW4284975544MaRDI QIDQ6108888

Rachit Seth, Raghu Nandan Sengupta, Peter Winker

Publication date: 30 June 2023

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13571-022-00285-2

zbMATH Keywords

uncertaintyrisk analysisreliability analysisblock bootstrapvalue at riskfinancial optimization

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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