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
9
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