Robust portfolio optimization with a generalized expected utility model under ambiguity
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Publication:665830
DOI10.1007/s10436-007-0082-2zbMath1233.91249OpenAlexW1987144782MaRDI QIDQ665830
Jilin Qu, Xiaoxian Ma, Qingzhen Zhao
Publication date: 6 March 2012
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-007-0082-2
Quadratic programming (90C20) Sensitivity, stability, parametric optimization (90C31) Portfolio theory (91G10)
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