مرکز منطقه ای اطلاع رساني علوم و فناوري - Robust portfolio selection with uncertain exit time using worst-case VaR strategy

Title of article :

Robust portfolio selection with uncertain exit time using worst-case VaR strategy

Author/Authors :

Dashan Huang، نويسنده , , Frank J. Fabozzi، نويسنده , , Masao Fukushima، نويسنده ,

Issue Information :

دوماهنامه با شماره پیاپی سال 2007

Pages :

From page :

627

To page :

635

Keywords :

Semi-definite programming , Worst-case VaR , Robust portfolio selection , Uncertain exit time

Journal title :

Operations Research Letters

Serial Year :

2007

Journal title :

Operations Research Letters

Record number :

137834

Link To Document :