International portfolio management with affine policies
type: Item
instance of: scholarly article
title: International portfolio management with affine policies
zbMATH Open document ID: 1253.91166
author: Raquel J. Fonseca
author: Berç Rustem
published in: European Journal of Operational Research
publication date: 2012-12-29T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 90C22
zbMATH DE Number: 6119564
zbMATH Keywords: linear decision rules
zbMATH Keywords: robust optimization
zbMATH Keywords: multistage portfolio optimization
zbMATH Keywords: semidefinite programming
zbMATH Keywords: worst case value-at-risk
describes a project that uses: SDPT3
describes a project that uses: YALMIP
MaRDI profile type: Publication
full work available at URL: j.ejor.2012.06.001
OpenAlex ID: W2012309508
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DOI: 10.1016/J.EJOR.2012.06.001
description: scientific article; zbMATH DE number 6119564