Robust min-max portfolio strategies for rival forecast and risk scenarios

Journal of Economic Dynamics and Control

Volumn 24, Issue 11-12, 2000, Pages 1591-1621

  Rustem, Berç ^a   Becker, Robin G ^b   Marty, Wolfgang ^b  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b 1 High Timber Street EC4V 3SB   (United Kingdom)

Author keywords

C44; C61; C63; G11; Guaranteed return; Min max decisions; Multiple scenarios; Portfolio optimisation; Risk management; Robust decisions; Worst case analysis

Indexed keywords

EID: 0347373685     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1889(99)00088-3     Document Type: Article

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